To make a .gfx dump first of all download this tool.
http://m.peponas.free.fr/gngeo/download/dumpgfx_win.zip
Put the roms you want to convert in your dumpgfx_win folder.
Windows start button click on run.
Type "cmd" minus the " ".
Command prompt will open.
Now you need to change directory to where you have the dumpgfx_win folder.
Type "cd path to your dumpgfx_win folder"
i.e. cd C:\Documents and Settings\Username\Desktop\dumpgfx_win
Type "dumpgfx nameofrom.zip" i.e. dumpgfx aof3.zip
All being well after a short pause a .gfx dump will appear. You can then copy the .zip and .gfx to your rom directory.
One point of note.
If the .zip fails to open with a couldn't load message, you will need to check .zip contents to see if the files inside match the names of the files used by romrc. To view the romrc just use wordpad and search for the filename, there is usually more than one listing for each title. You can try renaming the files and making a new.zip archive.
The other scenario is that you are trying to dump an encrypted rom and you will need to go looking for decrypted files in order to make a new .zip archive.
Finally, I did a post earlier in this topic in reply to antidark, who came up with a great idea for reducing the space taken by games with a .gfx dump file.
To read that click
here.
It's worth it.
Also you might want to read through the whole of this topic as there is plenty of information to be picked up.
Also visit the wiki page to see what you need and more importantly what titles work and which ones need a .gfx dump file.
GnGeo2x wiki page