Like toxical states hit the B button to switch between MameX and CPS2/NeoGeo mode.
(Green to Blue BackGround)
(CPS2=Capcom System 2)
BTW Final Burn Alpha is a much Better CPS2 Emu.
Metal Slug 1 & 2 and Samauri Showdown 1-4 all play fine.
but Metal Slug 3 and X are too big to be loaded into system ram so they will not run.
The EMU can only load, after decompession, about 57megs or so into main memory plus the EMU.
You must included the NeoGeo bios (ROM) files in each neogeo zip/game file.
I dont have the MOONWALKER or Capt Bucky o Hare Roms so I cannot confirm that they work.