Hi Sotenga,
Please bear with me as I am posting this from work, and don't have my MAME in front of me, but I believe there is a specific separate folder for your CHD files. They don't go in the ROMS folder.

Further more, you say it is in several parts.
Perhaps it is .rar/.par format?

If so you will need to use winrar or some such program and combine the pieces to make the whole.

I will confirm all this once I get home and can look at it in person, I'm just going by memory here. But that should maybe help you get going.