Somehow above instructions didn’t work for me.
I’m using a clean install of Retropie 3.0 and I got some errors and missing libraries.

So I decided to figure out how to compile and install OpenMSX myself.

This is what was working for me:

DOWNLOAD & Unpack OpenMSX:

sudo su
cd /home/pi/RetroPie-Setup/tmp/build
wget http://downloads.sourceforge.net/openmsx/openmsx-0.11.0.tar.gz
tar -xzvf openmsx-0.11.0.tar.gz
cd openmsx-0.11.0

Install Dependencies:
nano /etc/apt/sources.list
ADD this Line: deb-src http://mirrordirector.raspbian.org/raspbian/ wheezy main contrib non-free rpi
[CTRL+X]
Y
[Enter]

apt-get update && apt-get update && apt-get dist-update
apt-get build-dep openmsx

Edit Build options:
nano build/custom.mk
Change These lines:
INSTALL_BASE:=/opt/retropie/emulators/openmsx/
SYMLINK_FOR_BINARY:=false
[CTRL+X]
Y
[Enter]

Make + Install:
./configure
make
make install

Add MSX Roms:
CD ..
wget http://downloads.petrockblock.com/retropiearchives/openmsxroms.zip
mkdir -p /opt/retropie/emulators/openmsx/share/systemroms/
unzip openmsxroms.zip -d /opt/retropie/emulators/openmsx/share/systemroms/

Configure Retropie:
nano /opt/retropie/configs/msx/emulators.cfg
ADD this Line: openmsx=/opt/retropie/emulators/openmsx/bin/openmsx -cart %ROM%
[CTRL+X]
Y
[Enter]