I copied the /usr/share/openmsx directory from my PC (running Debian) to the PI sdcard in /usr/share.
In PI, i added this command in runcommand.sh:
export OPENMSX_SYSTEM_DATA=/usr/share/openmsx
Edit /etc/emulationstation/es_systems.cfg in TAG MSX <command> to get the full path of the ROM: <command> … /home/pi/RetroPie/roms/msx/%BASENAME%.rom </command>