Okay I haven't gotten the tutorial done...and frankly not exactly sure how to put it together...but it'll be getting done all the same.
Okay first off lets start off with the basic's of trouble shooting your problem.
Open up your demul.ini file in a text editor...notepad will do fine. Scroll through it till you find the "[files]" section. Under this section should be a number of keys...the keys we are interested in are "romsPathsCount" & "roms#" with # being any numeric value, starting with 0 since its a 0 based index.
First thing is to make sure that one of the "roms#" has the proper pathing to your roms folder that contains your bios roms and possiblly\probably game roms as well.
Mine looks like so:
[files]
nvram=Z:\Emulation\Emulator\[Arcade] Naomi Demul\nvram\
romsPathsCount=1
roms0=Z:\Emulation\Assets\[Arcade] Naomi\roms\
If you have any "roms# that aren't valid or needed please ether correct or delete them. Also make sure to maintain the 0 based index so roms0, roms1, roms2, ... Further make sure your romsPathCount is correct.
I personally have bios and game roms all in the same folder since there is no conflict in names...and demul doesn't share game roms really with any other emulator than Mame...and since Mame updates fairly often which results in redumps, name changes, and sometimes different parent, child relationships...its certainly possible to break compatibility between the emulators.
However depending how often you update your Mame set...it is certainly possible to reuse a lot of your Mame roms in Demul thus saving disc space.
Anyways I'll stop rambling on about rom management schemes.
Well since rom pathing information should now absolutely be correct, we need to move on to making sure your personal rom dumps match those expected by the emulator.
Now a good resource for getting DAT files is
ROM Shepherd which happens to have a DAT for
Demul 5.5 who's link may break in the future.
Then it should more or less come down to using
ClrMamePro, which there are a number of
tutorials for how to use it.
I'll add more a bit later.