Memnon, put the rom in the same directory as fmsx-dos.exe.
If it still does not work your rom image is corrupted.
so command line should look like :
fmsx-dos -msx2 -ifreq 60 mgear.rom
for sound you need your old soundcard or a dos supporting soundcard,
adlib , soundblaster (pro/awe32) , gus and even internal speaker!

fmsx-dos should detect one of these.
hope it will help you out.