I have found some super-helpful info here regarding linking to Windows games by using .lnk shortcuts placed in a roms folder. While I have also set up the media folders for snaps, etc and am properly seeing the selection to the windows game in the games selections onscreen properly... selecting the windows game yields a moment of silence, then loops back to the selection screen (Star Wars X-Wing vs TIE Fighter theme in this case). Gotta be something easy!
HELP!