why cant it?
you ahve to have enough space on your disk, so check that first.
then if you have enough space go to the wiki http://wiki.gp2x.org/wiki/GnGeo2x
then scroll a little, then get dumpgrfx for whatever system you have.
Heh, the built in 1 has worked for me flawlessly so far. I'm using the latest version of GNGEO though, maybe it's the ROMs your using. Try getting them from a different site.