Actually, mine are setup the way I described. I do not have a mspacmnf.zip, but the game runs fine. From what I could determine, MAME calls these Merged ROMs. I was able to get GameEx working tonight after searching back through the forums. I had to turn on the Verify ROMs option and then update the games list. From what I read in the forums, that option makes GameEx actually look to see what is in each zip. Whatever it does, it did seem to fix my problem.