Unzip your legally obtained kof96.zip and neogeo.zip files here (flat, no subfolders).

\nkof96: 214-p1.p1 214-p2.sp2 214-s1.s1 214-m1.m1 214-c1.c1 .. 214-c8.c8 214-v1.v1 214-v2.v2 214-v3.v3
BIOS:  sp-s2.sp1 sfix.sfix sm1.sm1 000-lo.lo

Then run Play KOF96.cmd (or "kof 96.exe" --rom-path roms).

