To play NeoGeo games, like KOF, you can install the GnGeo emulator.
sudo conary update {gngeo,xgngeo}=@fl:2-devel
xgngeo is the graphical front-end to gngeo.

Then you need the NeoGeo bios. Find it on the internet. The one I find working is a 233KB zip file:
$ unzip -l neogeo.zip
Archive: neogeo.zip
Length Date Time Name
-------- ---- ---- ----
65536 12-24-96 23:32 000-lo.lo
131072 12-24-96 23:32 asia-s3.rom
131072 12-24-96 23:32 sfix.sfx
131072 12-24-96 23:32 sm1.sm1
131072 12-24-96 23:32 sp-e.sp1
131072 12-24-96 23:32 sp-j2.rom
131072 12-24-96 23:32 sp-s.sp1
131072 12-24-96 23:32 sp-s2.sp1
131072 12-24-96 23:32 usa_2slt.bin
131072 12-24-96 23:32 vs-bios.rom
933 03-19-04 06:31 readme.html
-------- -------
1246117 11 files
Open Applications->Games->XGngeo and instruct it to the extracted zip file (for neogeo bios).

Then you can search and download game roms you like. They don't need to be extracted. One thing to note: I have a kof97.zip and its contents are some .rom files. I have to unzip the file, rename all *.rom to *.bin, make a zip file again; take a look at the files under /usr/share/gngeo/romrc.d).