Very likely they are bad roms or not the right format. The filename should end in .v64, .n64, or .z64. If it ends in .7z or .rar, you'll have to "unzip" the file first using a third-party app. (You can also do the unzipping on a PC if you prefer). Also Mupen can handle some .zip files automatically, but it's still safer just to unzip it yourself and point mupen to the .n64, .v64, .z64 instead.