ROM stands for read only memory. This type of file is created when a physical game cartridge is converted into a digital file. To make EO less complicated, the term ROM will also apply to any game converted to a digital file e.g. arcades, DOS/computer games (.exe), disc based games (.iso), etc. Please see the tutorials below for more information regarding roms.
See also:
How to add one or more roms to a console
How to add a game that requires a disc image (iso, bin/cue, etc.) mounted in a virtual drive
How to change rom file names to match their corresponding entries in EO
How to change the extensions of rom files
How to add roms using the drag and drop function