Okay, I can Help:
1. You have to make sure you have the right negeo geo bios in the same directory as you roms (It can probably go somewhere else, but for me thats the easiest) It's around 1.28 MB, and called neogeo.zip, keep it zipped, google is your friend
2. The version of the ROM must be the right one, I believe any rom set from the mame .149 version will work, If you need some help PM me, But here's a hint, google Youtube Metal Slug Final Burn Neo Geo rom...you'll find the version you need...its all about proper searching
3. If you get these peoper roms and bio's gngeo and final burn will work like a hot damn, and the emulation smoothness is AWESOME! I joyfully payed through Metal slug 1 last night!! AWESOME!!