Kymaera game lists are created through the config program.
Assuming you want a MAME list, run Ky_cfg then under "Emulators" click on config\mame.emu and press Configure.
Now look at the "Game Catagory List Files" (sic) and click create/add or edit one if there is one there.
Click on "Create Master List" then click "MAME".
Fill in the path names.
Set up filtering. You can just copy the default filtering setting (no filtering)
Set your category name, such as "main".
Click "Save Game List" and point to the Kymaera game list directory.