Problem: Unzip rom files - emulator running

[LVT89]

Hello

I don´t know if I post my issue the right place but here it is:

I have found this game on emuparadise.me:
http://www.emuparadise.me/M.A.M.E._-...st_World/14287
When I have downloaded the file lostwsga.zip I have to unzip it and then I got a lot of files with stranges fileextensions. You can see them in the attached picture. Do I have to unzip them to get the rom or how do I do it?

Also I have downloaded and installed this MAME emulator but it doesn´t work for me:
http://www.emuparadise.me/M.A.M.E._-...2_(64-bit)/469

Shall I get an other MAME emulator or what do you suggest?

Lars