Hello,
I use OpenMSX, too (version 0.15.0). If you prefer to use the rom files (in the "rom" directory of the archive), you just have to select "Load ROM... (slot A)" in the emulator, then select one of the three files (for example "MSXqueens1.rom") and then "Autodetect (guess)" for the choice of the mapper type. The game should start automatically.
The address 0x4000 is the starting address of the ROM to be mapped in the emulator. If you select "Plain rom starting at 0x4000" in the mapper type, the game works, too. However, the emulator seems to guess correctly the address with the simple "Autodetect".
Hope it helps,
D.