Just checked for you and by renaming my roms directory and starting the game it shows the screen in attachment 1 below when launched.
If you look at that screen in the NOT FOUND list it shows (tried in the following folders)
sfexu sfex cpzn1 sfexu and under qsound.bin it also lists qsound
So by copying those listed rom zips into a new roms folder I wound up with attachment 2 below - tried relaunching the game with just those roms in the roms folder and the Street Fighter ex (USA) version launches fine !
SO you need those 4 zip files in your roms folder for Street Fighter EX USA version. Chances are you were missing the qsound.zip file which is the sound system for many of the capcom games ! (Also - it doesn't list cpzn2 - so you shouldn't need it for this game at least)