Use WinRAR or 7-Zip. Do not run the EXE directly from the archive. Place the folder in C:\Emulators\NeoRageX to avoid path errors.
NeoRageX is notoriously picky about ROM naming. To get games to show up in the menu, you must use ROM sets specifically formatted for NeoRageX rather than standard MAME sets. The Classics: NeorageX 5 4 186 ROMS
If you want, I can expand this into a full README file with step-by-step screenshots and a formatted compatibility table for included titles. Use WinRAR or 7-Zip
NeoRAGEx is famous for its performance on low-spec hardware. Even an ancient Pentium processor can run these games at a smooth 60 frames per second. NeorageX 5 4 186 ROMS