It's one of the trickiest part of getting the most of Retroarch, list are files (.lpl) that allow Retroarch to load a core automatically with only open a content (game), in short you forget about loading specific core to open specific content, lists does everything for you.
Those files are stored in "playlist" folder, you can set your own path in Retroarch under Settings > Directory.
You can generate your list using Online Updater, though (again) is prone to fail if you have an insane games amount, PC build of Retroarch can generate list too and the format is compatible with Wii U, alternatively you can use
RetroArch Playlist Buddy a nice little Windows app to generate your playlist and thumbnails.
Here's a quick tutorial I made some time ago:
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In this example playlists and thumbnails will be stored in
sd:/retroarch/cores
To make the process painless always look for NO-INTRO rom sets as they have a standart naming convention used by Retroarch team, and are the cleanest dumps you'll probably find, it helps the program match your roms with the thumbnails images in
Retroarch database.
It's recomendable that your "roms" folder have this sub-folder structure:
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