Excellent. Apart from using the installation disc (they aren't designed for softmods) what you have done is fine. Kingroach 3.1 is the latest softmod, and its dash is E:\Dash\default.xbe.
It sounds as though you already have XBMC installed as an app (hopefully a recent T3CH version), and have tested the shortcut from another location. If that's the case then to install it as your default dashboard you simply rename the shortcut to default.xbe, rename the config file to default.cfg, then copy both of them into E:\Dash\. Take a backup of the current dash before you do that in case you want to change back at any time.
The reason your C was empty is because Kingroach (like all good recent softmods) forces you to have a shadow C (to protect the real C where the softmod files are so you can't accidentally screw up your softmod), and it's empty when you first start. All you have to do is ftp the stock C (from Slayers) onto your C drive, and you're sorted.