Hi, please try the following:
1) When no roms are found, you should check the list of file extensions in the config:
If you have bin files in your /Megadrive folder, you should add "*.bin" to the list. Even some common ones are missing in the default config.
2) You can place the previews wherever you want, as long as you select that folder in the link settings of GMenu (I prefer a subfolder in the rom folder to keep everything separated, but it can also be the rom folder itself).
The file names must match exactly, which is not always the case, if you didn't scrape your boxart from you own set of roms.
"alex kid.bin" and "alexkid.png" will not work
"alexkid.bin" and alexkid.png" obviously will