The arcade board contains several roms, so they are usually zipped in an archive, named mercs.zip.
All of the emulators I have can read the zipped file, so there is no need for unzipping.

Here's how the zip file should look. If the file doesn't load, then open the zip file, and check if the CRCs and the filenames are correct. Usually a missing file or a wrong CRC causes the roms to not load.

Name	Size	CRC32
so2_gfx6.rom	524 288	aa6102af
so2_gfx8.rom	524 288	839e6869
so2_gfx2.rom	524 288	597c2875
so2_gfx4.rom	524 288	912a9ca0
so2_24.rom	131 072	3f254efe
so2_14.rom	131 072	f5a8905e
so2_26.rom	131 072	f3aa5a4a
so2_16.rom	131 072	b43cd1a8
so2_20.rom	131 072	8ca751a3
so2_10.rom	131 072	e9f569fd
so2_22.rom	131 072	fce9a377
so2_12.rom	131 072	b7df8a06
so2_30e.rom	131 072	e17f9bf7
so2_35e.rom	131 072	78e63575
so2_31e.rom	131 072	51204d36
so2_36e.rom	131 072	9cfba8b4
so2_32.rom	524 288	2eb5cf0c
so2_09.rom	65 536	d09d7c7a
so2_18.rom	131 072	bbea1643
so2_19.rom	131 072	ac58aa71

Versions:

- Mercs (World) 900302 usually in a file named mercs.zip
- Mercs (US) 900302 usually in a file named mercsu.zip
- Senjou no Ookami 2 (Japan) 900302 usually in a file named mercsj.zip.

Emulators:

- MAME and frontends: All of them work perfectly, if you have a computer fast enough.
- Kawaks: Works perfectly, and very fast.
- Final Burn Alpha: Works perfectly, and it is the fastest.
- Nebula: There are some graphical glitches, but otherwise it works perfectly.
- Callus: Untested