In the emulator settings, change the BIOS type to "Universe BIOS" to activate it. Troubleshooting: Why Won't My Games Work?

One cool trick only possible via the BIOS in NEO.EMU:

The BIOS is the gatekeeper to that audio experience. Without the right BIOS, NEO.EMU cannot stream the CD audio tracks. With the UniBIOS and a CDZ config, you get the best of both worlds: Arcade speed + CD quality sound.

If you own a Neo Geo CD, you can dump the BIOS using a cheap Arduino and a desoldered ROM chip—but for 99% of users, the path of least resistance is finding the neocd.zip from the MAME BIOS set (specifically MAME 0.169 or newer).