Your question was very vague. Each core has different ways to make it work.
Here is a small tutorial I wrote for running Cave Story with the NXengine core of Retroarch PSP:
To use NXengine core (fantastic) you must get the latest build of Cave Story (Doukutsu Monogatari) from the official site and place the folder that contains the file Doukutsu.exe onto Vita. Open NXengine core and select Doukutsu.exe file and wait for a bit of loading and enjoy Cave Story in its original aspect ratio at steady 60FPS game play.
The PRBoom core uses Doom.wad and Doom2.wad files. Most older console cores just require the roms.
I believe the GBA core isn't function correct, but if you want to try, To use GBA cores, you place the gba_bios file into the retroarch folder You can load .gba files from anywhere but I recommend you organize it for simplicity (I will not tell you how to do this.)
What did you want to do specifically in Retroarch?
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