did you put the roms in the right directory as stated in the readme?
if not you need to create a directory called "roms" (lower case) in the root of your SD card. Then in the directory "roms" you need to create a directory called "megadrive" (again, lower case). Put the roms in here.
When you load drmdx, go to "select rom" then scan the rom directory (i think it's top of that submenu) then the list of roms should appear and you can select them with b. some roms take a few seconds to load so be patient.