mmm I'm not sure why you don't have that option, it should be there, seems to be a daemon tool issue related, since is not detecting any "host cd drive" in your system.

Use the third method then to transfer files from the host to system to the pcem.

As I said:

Install https://sourceforge.net/projects/iso-creator-cs/

and add the files and games you want and create a .ISO then mount the iso to use inside your pcem using
Settings>CD-ROM>ISO...

Let's say I want to play "バーディーソフトベストキャラクターズ" which has bin and cue files (cant open directly with pcem)

I open iso creator:
1)select the folder to store the iso you want to create.
2) select the folder your files are in

in my case the iso is named img.iso and label 2 and will be stored in J:\drivers\transfer\



https://i.imgur.com/bwe1ZKH.jpg

(add usbupp.exe, ie4install.exe, daemon tools and the games you want to play too in that folder)


now install usbupp.exe
https://www.computerhope.com/download/win95/usbsupp.exe

then ie4install.exe and then daemon tools 3.47
http://es.oldversion.com/windows/download/internet-explorer-4-0

and then:
http://www.mediafire.com/file/02g7l8affe8l26w/daemon347.exe/file

PLEASE IN THAT ORDER.

mount the iso you created and install everything, then transfer the game to the pcem
https://i.imgur.com/UIfjF5Y.jpg


then mount it,
https://i.imgur.com/kLUQHXl.jpg


I'm tired xD