Yeah, you should use a rom compatible with Dumpgfx... see the file "romc" of the dumpfgx for compare your rom with the rom of the file. If is only problem with the name of the files of the .zip... change it if not... the rom could be encrypted.
I couldn't get Waku Waku 7 to dump either, and I tried about 5 different "versions." I finally tried a MAME rom, and it dumped the first try, so you might want to use a MAME rom and see what happens. H.G.
Let's see if I can explain this without getting "dinged" as I hope it's not in violation of any forum rules to explain this. Anyways, when you find a site with roms on the net they are grouped by category ie, NEO GEO, MAME, NES, ect. The Neo Geo roms are for the Neo Geo console, and the MAME roms are for the MAME machines. That's about it, hope it helps, H.G.