With arcade games, even if an emulator supports a system, it needs to be explicitly told to be able to load a certain rom by the author. MAME has a sort of rom database, and emulators like FBNeo use that database as a basis (emphasis on as a basis, it supports plenty of things MAME doesn't).
If you download the one labelled as MAME and extract it, it isn't just the rom, but a modified copy of MAME with the arcade rom extracted to /roms/doubledragon. There's a file in the base MAME folder extracted titled 'run.bat.' Running this will force MAME to run the rom.
Just use that.