Had the same problem.... you have to unzip your mk3 zip and umk3 zip and share some files.....
Found this awhile back.....
have a game specific thing to add:
If you want to play Ultimate Mortal Kombat 3, you have to do a little bit of a work. You need the rom sets of Mortal Kombat 3 and Ultimate Mortal Kombat 3, now extract both of those roms to separate folders. You see the rom set that is available for UMK3 is not complete, so you have to have both UKM3 and MK3. Now to play UMK3 you need the following files:
mk3-u3.bin
mk3-u4.bin
mk3-u5.bin
umk3-u2.bin
umk-u122.bin
umk-u123.bin
umk-u124.bin
umk-u125.bin
umk-u126.bin
umk-u127.bin
umk-u128.bin
umk-u129.bin
umk-u130.bin
umk-u131.bin
umk-u132.bin
umk-u133.bin
Now you can find all of the files (in UMK3 and MK3) but you can't find mk3-u3.bin,
mk3-u4.bin, mk3-u5.bin in any of those rom sets. You will find all of these files in the MK3 rom but they are named umk3 instead of mk3. Rename them and now take all of the needed files and compress them to a ZIP file called umk3.zip . Place it in your roms directory, load up MAME, make sure to recheck your directories in MAME so that it recognizes that you have the rom, load, play, and enjoy.
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Again I didnt write this!!