Hi
I'm a newbie myself but I'll try to help.
Unrar the emulator to SD/game directory. It should look like this SD/game/neocd2x -
all the emulator files should be there, but the neocd2x.ini file should be in SD/game directory.
You should also have 2 subfolders in SD/game/neocd2x, they are 'roms' and 'skin0'.
You need one more thing - NeoCD.bin file - you will find it on the internet, use google, put it
in the SD/game/neocd2x directory.
Now you need to create a directory e.g. 'Metal Slug' in the roms directory and extract all the
game file into it, they should be .cue, .iso, sometimes .mp3 or .wav files.
Make sure your games are NeoGeo CD and not NeoGeo. That's it.
Hope that helps