It depends on your game/rom, you have to know to what console belongs.
Cores are nothing but emulators, so for example if you have a SNES rom then you have to choose the SNES core.
To add a core (an Emulator) go in "Online Updater", then "Core Updater" and here download the emulator you want to add.
Remember also that there are a large number of controllers to be displayed on-screen to adapt to different consoles that you are going to emulate, so if you change emulator, change also controller to play more easily.