Here are the files you need to be able to play Neo Geo games(Be patient and you will be able to play most of the Neo Geo games with sound In arcade mode), be sure to download all of them

At First download NeoMame unzip it to any directory you want. the neo-roms will have to be placed into roms directory which is in your mame directory

neogeo which contains 4 compresed files. All of these files need to be add to Neo-roms. Simpliy unzip Neo-rom add these 4 files, and then zip this new changed Neo-rom file back. Now you have game ready rom that needs to be add in to subfolder called Roms which is in Mame dir (again).