Thanks for the help and advice so far

I did manage to resolve this by -

1). Installing the PINN multi-boot software from the Raspberry Pi Imager

2). Using PINN software to set-up a dual boot set-up on the SD card

3). Installing -

3.1. Raspberry Pi OS
3.2. Retropie OS

4). Adding the various games and ROMS that I wanted on each OS / partition.

@stmacy Windows cannot read the Linux- formatted partition and therefore thinks it's not formatted at all. It's fine, just eject it & put it in your Raspberry.