Ah, the plot thickens.
So I had not set up an AVD. Bad, bad of me. So I set up one. Then, it still fails.
So I eventually found the problem. The problem is that the latest Android sdk bundle has reorganized the files around. The second problem is that one of the tools apkbuild.bat, is no longer included. I hacked my way to getting the emulator to run by moving folders, renaming them, moving files, and even downloading an old version of apkbuild.bat.
So my guess is that this disconnect is a problem. Hopefully the latest version of Rhodes has fixed this problem.