jojoban.zip is the "ROM set" for this game in the Multiple Arcade Machine Emulator (MAME) format. A ROM set is a digital copy of a game's arcade data. However, CPS3 emulation is notoriously complex because the games were heavily encrypted, leading to multiple versions of the ROM. You'll often see several versions of the jojoban.zip file, such as jojobane.zip (commonly the European version) or jojobanr1.zip (a Japanese revision). These are often used as "clone" ROMs that require a parent file to work.
jojoban.zip is the core ROM file required to play JoJo's Bizarre Adventure: Heritage for the Future , a classic 2D fighting game based on Part 3 of the anime. jojoban.zip
The long answer is
Inside the VM, open the .zip using a tool like 7-Zip. Look for: jojoban