This types of files currently not allowed to operate

I have downloaded 2 games (Magical Starsign and SNK vs. capcom) using an R4. i can get either of them to run, it just says "This types of files currently not allowed to operate" can you please tell me why?

Re: NDS/GBA Roms [A list of games along with the correct settings to play on]because you didn't extract the roms from the rar files? And this thread is about emulators, not flash cards, so don't hijack threads.