Did you leave the bios roms zipped?. You have to leave them zipped and place them in the mame/roms folder just like any game rom.
Using bios roms with Mame is an inert process, mame will actively look for and use a relevant bios when it requires it without you needing to do anything. If you're using mame32/UI it might be worthwhile auditing the bios roms and the game roms you are trying to play to see if mame is reporting any files missing.
Most problems like this with mame are caused by out of date roms. Remember many mame roms are regularly changed and/or updated so even with a good working rom it can still need updating with different versions of the emulator from time to time. I would definitely recommend an audit. Just select file from the mame32 toolbar and click audit all. Mame will report any roms with problems or missing files.
I did put the Bios in the ROM folder zipped. And did an audit. One of the games Die Hard it said it needed Die Hard CRC. I am wondering what CRC means exactly. After burner just won't work at all i guess it doesn't work with the version of MAME i have. I did unzip the Bios files to see if that did ne thing but nothing at all. I will download the Bios's again and see if it works the right way again. Thanks Fat Trucker.
Have you checked that you have the parent roms for all the games you are trying to play?.
Most arcade games have a number of variants (releases for different regions, newer revisions etc). What mame does is has a parent rom which is basically one version of the game which has all the core game files, then any other versions of the game just contain the few files that are different, this is called a clone.
Mame requires the parent rom for any of its clones to run. Mame32 will tell you in the game info pane if the game is a clone or parent rom.
AfterBurner also requires the AfterBurner II rom (which is the parent set in this case) so you need both aburner2.zip and aburner.zip to play after burner.
Die Hard Arcade requires the stvbios.zip, although its worth noting that it doesn't run that well in mame as STV emulation is still pretty ropey.
The Die Hard Arcade game rom was last updated in 0.124 (so only a few weeks ago) before that it wouldn't start so chances are if you are using the latest version of mame then the rom you have for the game is an older one which is why its reporting a missing crc.
I was aware about the parent ROM and all that. The info you gave is very insightful to the reason these games don't work . I will scour the internet for Die Hard since it is very tuff to find in the first place. I think this will help. Thanks again Fat Trucker. Now is the arcade version of Die Hard even worth playing? Would the Sega Saturn version be better in terms of EMU glitches and etc?
STV emulation in Mame is pretty poor. Its playable on a decent modern PC (especially if you have a Core2Duo) but far from perfect.
Unfortunately Saturn emulation (on which the arcade STV chip was based) is similarly pretty hit and miss at the moment. If your PC will run it I would recommend trying the Saturn ISO with the SSF emulator. I haven't tried DHA with a Saturn emu though so couldn't really tell you if it runs any better.