Well, just check the following:
1. Are the rom names 8.3? e.g. RomNameNumber5.example is wrong.
RomName8.rom e.g. is allright.
2. You don't have to put the roms into the GPMM directory. It depends on the emulator where you put the roms. For example, LJGP (NES emulator) looks for them in GPMM/NES, while GenEmu (Genesis emulator) looks for them in GPMM/GENESIS
3. Make sure they are the right format! LJGP works only with NES-roms! They may be zipped, but the original name should end with .NES
Not all emulators support zipping though.
Look into the appropriate readme to find out where to put roms in what format for what specific emulator.
4. When renaming under windows: make sure the explorer doesn't hide file extensions!