Help emulating NeoGeo games

I've tried both MAME and NeoRAGEx, both with a couple different BIOS sets, but I can't get either to work. NeoRAGEx always gives me the error "Unable to load NeoGeo System Bios rom 'neo-geo.rom'", and MAME gives me an error saying "The selected game is missing one or more required ROM or CHD images." Can anyone link me to a decent tutorial or just to everything that I need to get it working? I'm trying to get Samurai Shodown downloaded from here working.