Typically the messages after a first install (read the first post of this thread).
You need to do 2 things:
Get yourself the bios files en place it in the proper map (gngeo-gui must point to that map)
And if your haven't done already: put your zipped gameroms in a proper map

If you use the maps that are shown in your screens, it is most easy and your won't have to change the locations.