You have to scan them exactly in the same way as roms.

Keep in mind the two possible storing methods:

rompath\setname\file 1 ... file n for unzipped sets
rompath\setname.zip for zipped sets.


So if the setname in the flyers datfile is set to "flyers", and you keep them in a folder "misc_art" for example, "misc_art" is your rompath and you setup that one as your rompath.

So...go and check the datfiles, how the sets are named.