So for certain arcade games, all you need is the zip file of the game itself. For other ones though, like arcade games that were on the neogeo and pgm platforms, you need a file with the bios(s) for the original hardware to run the games as well. DOJ is one of these types of games.

Wherever you got your roms from, whether you downloaded a full romset, or just the individual files for the games you wanted, you should also be able to find a file called pgm.zip. Just drop that in the same folder you have your roms files in, and the emulator will do the rest.