The latest mame32k client (the one advertised on TFR's site) is based on Mame .64. So its possible that those roms you're using are from another mame version (roms do change with each version after all).
Check
http://www.mame.dk in their "changed roms" section, for the mame versions and see if the game you're having problems with has changed from .64-.67.
You shouldn't have to unzip the roms, just put them all (zipped) with the proper r0m names in your /roms folder. You should do a "full audit" in Mame32 to check and see if all your roms are present and correct (this will also identify corrupted zips).
I'm not sure about Windows NT though, never tried to run mame on it.
Set your mojob mame color in display to match your stupid ass desktop color to avoid black screen in netplay, fukaz. t(';'t -TFR, AD 2-20-02