Once it does accept your roms, it will want to set up its NVRAM. This can take an hour, but you only have to do it once. Unless, of course, you run the non-cd version.
The file should be inside of a zipfile called sfiii3 (or similar). The zipfile belongs in your ROMS folder. Also, since your file has the incorrect CRC, you should download the latest version from a reputable rom site.