All Roms of a game need to be in a single zipped file... moreover the file needs to be compatible with the FBA ROMset (in your case 0.2.97.29)*
* I suggest you to use the latest release, 0.2.97.31 (you can find it in the OP)... and I hope that d_smagin will make the new release (0.2.97.33) soon !
Thanks for the help, I really suck at using emulators that require more than clicking "Load ROM"
I'll download the newest version right now and look for the proper MAME romset
EDIT: OK, now it detects the rom, but it fails at loading, giving an error message that states that "sm1.sm1" is missing... I downloaded "The King of Fighters '94 (NGM-055)(NGH-055)" according to the compatibility list. I don't know what is wrong