There are a few options.
You could just open retroarch and without any content, and just start the core. This gives you a dos prompt with your SD mounted as C: drive.
Or load any content as usual, navigate to the commander keen folder and just open e.g. keen1.exe.
( in which case the current folder will be mounted as C: )
Both options work fine on my end, but i've manually created my own playlist and use that.
I'm not sure why you're having issues loading content, old3DS maybe?
@g_west
Sorry for the wait, blueMSX assets should be available soon.
https://github.com/libretro/RetroArch/pull/12155