You can place emulators and roms anywhere you like, but generally roms are placed in the collections/<collection name>/roms directory. You can override that path in the settings.conf file of the collection. The emulator used by a collection is defined in the launcher .conf file for that collection. You could have a quick look at some of the MAME based examples in the latest release. I'm also willing to help set up a specific collection for you to get you going.
The frontend is generally configured using the text editor of your choice. The settings are defined in the .conf files. I'm working on in-frontend configurability at the moment. If you have specific configuration questions, feel free to ask them.
You could generate XML files by hand or download them from the various websites (HyperSpin has a lot; MAME XML is found on the RetroFE download page). RetroFE however only uses them to get extra information to show on screen (e.g. manufacturer, year, score, rating). Even without them, RetroFE will still display your games. This is because RetroFE does not use XML to create the game lists (so it does not need to filter them to only display USA roms either). It uses a combination of the roms directory, include.txt, exclude.txt, .sub files, and menu.txt as described in
http://www.retrofe.nl/wiki/doku.php?id=collections