This site is actually the only site that is really up to date with the roms. The reason why you are having problems is that you are downloading only one rom and since this site uses split sets, it means you are not "complete". What you would want is to open pinmame via setup.exe. Scroll down the list to the rom that you are trying to play. Then find the names of it's mother (related roms) and download them too. Split sets is a way of saving space. You have this "mother" rom that contains most of the files, then if there is different versions of the rom available, then you will get smaller downloads for those, saving space. But, it is expected that you have the "main" or "mother" available. IF NOT, you will end up with what you describe.
There are programs like romcenter and clrmame pro, that can audit and re-create the roms for you, also helping your out, telling what roms you are still missing.