Forget it. Found the way. 
If someone else is wondering how to, here it is:
1 - Download the full BlueMSX from this link: bluemsx.msxblue.com/rel_download/blueMSXv282full.zip
2 - Unzip the files and move the “Databases” and “Machines” folders to /home/cpi/apps/emulators/bios. If there is no “bios” folder, create one.
3 - Download bluemsx_libretro.so.zip from this link: buildbot.libretro.com/nightly/linux/armv7-neon-hf/latest/bluemsx_libretro.so.zip and unzip it.
4 - Move bluemsx_libretro.so to /home/cpi/apps/emulators.
5 - Create a action.config script and write this in it:
ROM=/home/cpi/games/COLECO
ROM_SO=/home/cpi/apps/emulators/bluemsx_libretro.so
EXT=col,COL
LAUNCHER=retroarch -L
TITLE=COLECO Roms
SO_URL=https://http://buildbot.libretro.com/nightly/linux/armv7-neon-hf/latest/bluemsx_libretro.so.zip
*You can use Notepad++ to do this and then rename your file to action.config and move it using your preferred method. I use Filezilla.
6 - Move the action.config script to /home/cpi/launcher/Menu/GameShell/20_Retro Games/COLECO. If you do not have a COLECO folder, create one.
7 - Create a COLECO folder in /home/cpi/games/
8 - Move your games there and play!
Step 9: Point Retroarch to the right BIOS folder.
Go into Retroarch, Settings, Directory, System/BIOS and change it to your BIOS folder located in /home/cpi/apps/emulators/bios
If someone have a better way to explain all of this, you are welcome to share your method.