For people struggling to get mslug3 running and no sound in 4 or 5, read on:
Mslug3 – rename the zip file to mslug3n.zip. Google “neo geo bios” and download the 1.5MB file linked. Move all the files in this zip into the mslug3n.zip file. Copy the file into your roms directory. It should now work.
Mslug4 – Google “metal slug 4 (Decrypted C)”. Click the link, download the file. Copy the contents of this zip into your mslug4.zip and then put this back into your roms directory. It should now work.
Mslug5 – same procedure as 4 but Google for “metal slug 5 (Decrypted C).
