Some tips to remember for playing console games:
The roms format for consoles needs to be in MESS-style format, sonic.zip would need mpr-13913.ic1 in it, for example. (sounds like a pain, but hold on)
Console prefixes such as md_ tg_ pce_ sms_ etc, are internal to the emulator, so they don't need to be added to the front of the romset name.
Some torrent sites have the entire MESS sets for Megadrive, for example. Just put all the roms you get from the set in the megadriv folder under your fbalpha folder. (due to rules and regulations, I can't mention them)
best regards,
- dink