easiest way with windows-shortcuts (.lnk-files) :
1) create a folder called links or something like that
2) create shortcuts from your exe-files (right mouse button > send to > desktop
3) move the created shortcuts (.lnk-files) to created links folder
4) start attract and configure emulator : windows_games
5) configure the rompath to your link-folder (e.g. C:\attract\emulator\windows_games\links)
6) create rom list