it’s neogeo.zip and should be included with the roms. It goes in the rom folder, unlike with other emulators. Your roms need to stay zipped (the bios too).

To ensure you have he correct roms, walk through this guide:

https://github.com/retropie/RetroPie-Setup/wiki/Managing-ROMs

IMO it’s best to start with the latest rom set you can find (it helps to also have the rollback romset that matches the new set as well) and simply rebuild them to the version you need using that guide. You’ll always have the correct set that way. If you have both the roms and the rollback roms, you can build any version of MAME roms using clrmamepro.

I’ve done tons and tons of testing of MAME. by far the best one to use is lr-mame2003 with mame version .106 roms. You’ll get the largest number of roms to work that way.