A more elaborate explanation, (no offence intended Kambing_gaul).
Put the neogeo.zip in your roms folder in the Mame32 directory. You said you have the roms Fatal fury 1, King of fighter, and Aero fighter. These roms should be in a zip file. Never ever unzip the files in your rom directory, just place the zip file in your roms folder intact.
I can tell you the zip name for Fatal Fury 1 should be fatfury1.zip
Also Aero Fighter should be named aerofgt.zip
As for the King of Fighters you didn't specify which one you have and you're choices would be The King of Fighters '94-2002
Once you have your roms and neogeo.zip in your roms folder start mame.
Once it loads at the top left you'll see options. Choose that and from the drop down menu select Directories..., on the next screen choose Insert and navigate to where mame is installed, select your roms in and press OK. Press OK once more on the Directories menu.
On the left side of the emulator you will see a bunch of folders. Click on the second one down Available and press F5. If all went well you should see your 3 games now. If you want to use a control pad to play the games you have to enable them first. To do so from the options menu select Default Game Options and click the controllers tab, check enable joystick input and select from the P1 drop box below. Once in game play you can configure all of your buttons by pressing TAB on your keyboard.
