Sonic 3 & Knuckles is working fine for me, by the way. You need to use the FBA rom specifically, not just any old Mega Drive rom.
Obviously not going to tell you where to get it, biut search for 'sks3.zip fba' on Google and you should fine the correct rom set. Rename it to md_s3sk.zip
Is FBA the thing were if one rom isn't right the entire folder won't display? Because having to rename all the ROMs for MD/GG/MS would be a pain