In the manual (yes the RTFM) you can find an explication at
openmsx.sourceforge.net/manual/user.html#harddisks
It contains pointers to the needed rom, extra programs and an other thread on the MRC for more info.
If you are using Linux you can check out the msxtar program (an openMSX sub-project at souceforge) to create an HD-image with files from your current HD.
Its command line interface mimics the regular Unix tar command hence its name.