Thanks for that. For some reason, I was under the impression that the 'big' version actually contained the roms.
I am still having problems however. I select the game to run now and the game screen goes black with the rom name appearing on the title bar. Sometimes when I press the buttons - randomly - the game starts to make a noise. I can cancel my way out by pressing the action button.
I don't think it is the machine since other people have it working. I'm probably still doing something wrong..