Move your downloaded mvsc2.chd file inside that newly created folder. Do not zip or compress the CHD file. Path: mame/roms/mvsc2/mvsc2.chd Troubleshooting "Missing Files" Errors
Alternatively, use MAME's built-in cheat engine: Marvel Vs Capcom 2 Chd Download Mame
While many arcade games only need a single ZIP file, "heavy" games like MvC2 require a file to simulate the arcade cabinet's internal storage. Understanding MvC2 Emulation Move your downloaded mvsc2