Well, they tend to have readme's, but in general, the folders are GPMM/genesis folder for, you guessed it, Genesis/MegaDrive roms, GPMM/NES for NES roms, etc.
Some emu's have good file selectors, so you can put the roms anywhere.
Depends on the emulator. And some do support zips...
matt goode do you know exactly what you have to do when you get your gp32? Because otherwise you will be extremely dissapointed on Christmas day. If you're not entirely sure I suggest that you read the FAQ in the "I need help" section. It should help you greatly.