Our chd set is out of date I was just going to upload it anyway though
But that one may of been ok for the updated MAME I didn't check every one of them
The Master rom would also be needed, not the chd this time though
jojo.zip is the master rom that is for the USA 990128 version of the game not at EP
Extract
Jojo Roms.7z to your rum folder and try again
This is for MAME 0.152
That's not the CHD as you got the CHD from the link but I'm sure that is out of date, what this file is, is the rom for this version (USA 981202) and the master rom (USA 990128)
I will upload the CHD after work though if you still can not run it