If I understand you correctly there's two questions here:
mGalaxy will come up but I cannot figure out how to set the filter to just show my available roms:
Call the menu window (which is the 'shift' key by default) and select the "show available roms" button
All this, and more, is explained on the video tutorial that you can find on the mGalaxy site.
Is there an XML file I can edit, instead of trying to push random buttons on the controller?:
There, you're talking of keys assignment, aren't you?
Keys configuration is done through the mGalaxy Runway application.
If you're using a joypad, you'll have to use one of those 'joypad to key' applications.
You can find them to download on the...download page.
Hope that it will help you!!