I cannot get retroarch to install ever.. It always gives me errors and will never open
do you have a 32 or 64 bit OS?
Here is a working link (in the description). Seriously try to get retroarch working, its the easiest and best emulator out there once you figure it out.
It would be a lot easier if you used ESC to exit. I don't think rocketlauncher allows you to change the exit key, assuming you're using rocketlauncher. But in the modules settings you can get rocketlauncher/hyperlaunch to send and ALT-F4 signal instead of the default.