You should just play through the games to find out for yourself. But if you really want to know...
*SPOILER WARNING*
BlackRose's brother, Kazu, is in a coma due to The World -- just like Orca. He fell victim to the game while in the area Delta: Hidden Forbidden Holy Ground. Since BlackRose was with him (in the real world) when it happened and was the one who had selected the keywords to begin with, she knew where to start looking for answers. BlackRose was a newbie when she met Kite, hence why she needed him to go with her.
*SPOILER WARNING*
And that's about all there is to it. She just likes to act tough.