I noticed that in your image, open retroarch by itself and hit F on the keyboard to go fullscreen, it should remember that next time its opened. If it doesnt remember it post back and ill explain why.
A xbox controller will be automatically setup so no need to worry there. As for keyboard controls you will need to open Retroarch and go to settings/input/user 1 binds and set what you want there.
Night Trap is a Mega CD game so that will require Mega CD bios files, which go in the Retroarch/Systems folder.
In the retroarch UI you can "Load Core" when a core is loaded you then have access to a "information" screen for that core, then inside that "core information". That screen will say if a core needs a bios file, and whether or not it actually see's that file or not. Like in this image, i have the European and USA bios, but im missing the Japanese one. So i can run European and USA roms but not Japanese.
I should add the only reason it says those are "Optional" is because they are not needed for master system, megadrive or game gear. They are ABSOLUTELY needed for mega cd though.
Any other queries, feel free.