Well, what game is it? It's possible that you have a clone of said game and need the parent ROM set, or in some cases such as NeoGeo you might need a zip of the BIOS ROMs as well.
Also, sometimes a ROM set will change. An old version may be expecting certain files while a newer version may expect something else. See if you can verify it using something like
ROM Center (though you may wish to update to the most current version that you can get
here.