As shown in the pic which is a screen of Mameui with the list showing the parent rom and it's clones so you can tell which is the parent of the others.
Dkongo.zip is US set 2 and is a clone of dkong.zip (US set 1) so you need both in order to run dkongo.zip so if you have not downloaded dkong.zip also that is your problem since the clone sets only include the files that are changed from the original (Parent) so need the parent files since some of them are not changed but are not included in the clone roms zip file.