You should have 2 seperate zip folders in your mame roms folder. The metal slug game zip (mslugx.zip) and the Neogeo bios zip (neogeo.zip).
If you are using Mame32 simply run an audit (right click the game in the list and select 'audit' or select 'file' from the toolbar and select 'audit all' )and it should work. If the audit chucks out some missing files you need to obtain an up to date set for the version of mame you are running.