Every Neo-Geo game has both an Arcade mode and a Console mode built-in. The arcade mode is just what it says, with coin inputs and all that. Console mode is the one with an options menu, often a practice mode, four continues, etc. etc. It's been a while, but you can switch to Neo-Geo Console mode in MAME by switching to the Neo-Geo AES BIOS, or through the DIP settings in MAME's in-game menu. My memory fails me, so someone else can fill in.