Not real clear on what you mean exactly. I have my roms on an external USB drive working just fine. I keep them in a "Nes Roms" folder myself, which is found in my "dev_usb002" folder (don't know if this varies for others dependent on what you have attached to your system). Just navigate towards your USB drive and you should be golden.. hope that helps bud
Make sure your roms are unzipped or it'll crash back to the XMB. Zips seem not to be supported yet.. enjoy!