I just use a folder in C:. I have a folder called $1ROM with subfolders (using $1 at the start of the name makes it the first file in C: and thus much quicker to navigate to in RetroArch). Made a NeoGeo subfolder, and put one copy of the neogeo.zip bios file in there (got it from Garou, I assume any would work) and then all the individual ROMs (the gamename.zip files). (I assume it's obvious, but jic: don't unzip them.)
I use the core "Arcade (FB Alpha)" - there are several versions of FB Alpha that can be downloaded and I haven't tried any others to see if they work.
Use Load Core to load the core, then Load Content to browse to the folder you created, select the ROM and go.
so pretty.
Apparently whatever I did only worked for Garou. Can't get Fatal Fury Special to boot. You only need ONE of the Bios files right? How does RetroArch know where to look for them? Edit: Maybe it just needs a different core I don't know. I'll try again tomorrow.