Are you on the latest version? Could you tell us what steps you did to run Yufo?
We updated the guide yesterday, it covers how to launch roms:
Well weird, I was 100% sure I had tried both the uxnemu included here and also my compiled-from-source one, but today it's running fine from the downloaded uxnemu. I'll hunt down my compilation problem some other day, I've got a virtual pet to take care of. Sorry for the false alarm!