This is what you should do:
NJ-NesterX-v.8 extracts to a .gi file. Use WinISO to extract the disk to a directory. Then extract 0.08 into the same directory, and overwrite all files. Next extract the default.xbe from 0.08 w/2 Player into the same directory, and overwrite again. Next, you will have to xbepatch the default.xbe.
"Fonts" dir should have "font 00.ttf"
My "music" folder reads "musics", and has zero files in it.
"Sounds" dir should have "Bank 00.xwb"
"Textures" dir should have "Back 06.bmp" and "Back07.bmp".
That should work fine! You have all the same files and folders I have, at that point.
My roms are NOT zipped, but I believe NesterX does support zipped ROM's... Not sure, never tried it, and don't have any release notes.