Hi newton!
1) For a correct Neo Geo CD emulation you need to put neocdz.zip and neogeo.zip archives inside the ROMs folder.
2) You can try to install "DirectX End-User Runtimes (June 2010)" from the official Microsoft website: https://www.microsoft.com/en-us/download/details.aspx?id=8109
Hello... i have both neocdz.zip and neogeo.zip archives inside the ROMs folder and keep the same problem. We need put NEOGEO CD ROMs in rar file? i cant play NEOGEO CD because this error... i do no what to do