Hey!
For Street Fighter II: The New Challengers, the message about the CHD means the game needs an extra file called a CHD (Compressed Hunks of Data), which contains the CD data for the game. Even if your main ROM is fine, the game won’t run without this CHD.
You need to download the CHD that matches your ROM version and put it in the correct MAME folder. Also, make sure the ROM and CHD match exactly (same version and region). Once that’s done, the game should work properly.
If you want, I can explain exactly where to put the CHD in MAME so it works.