Yes, keep them zipped. So your setting up SNES, MESS needs to know where to look for the ROMS, right click the system name and click properties. A new window should come up with a bunch of tabs. These are helpful. Click the software tab and you should see a "Browse" button. Click it, and direct it to wherever your ROMS are for that system. Do this for all the systems you are making MESS run. After you configure everything make sure you hit Apply. Then, back at the MESSUI, right click on the system, and hit Audit. This will show all available ROMS. Hope this helps.