You have to make a dat file of the exe's your are wanting to add to a list via izraham's dat maker. Then you have to add the path to each exe as if it was a rom path. Then you use command launcher 2.0 which accepts a "null" value as a emulator exe. You can also do this for mp3's or anything you can think of, as long as it can be launched via the command line.
And no you can't run a jukebox and an emulator at the same time. You probably never will be able to as it causes channel conflicts and hinders performance of both the jukebox and the emulator. You see they both try to use the primary sound channel, and if your sound card happens to have enough channels(most cards do) whatever is bumped to a secondary channel is going to perform slightly worse on most systems.