Think of lst files as cues that point to the pertinent Converted Arcade Naomi and Atomiswave Rom Sets.  

IE: Marvel vs. Capcom 2.lst

You would add this as the game, uncompressed.  Then, you would copy the file it points to into the same
CLV Folder.  It MUST match the exact name of the contents of the lst.  You can open it with notepad or
notepad++ (which is in Tools)  

Inside, it says 

1  Marvel vs. Capcom 2
2  "Marvel vs. Capcom 2.dat", 0x0000000, 0x0889B600
3  

This would mean the file it is expecting is Marvel vs. Capcom 2.dat

Not all games will work!  And, some can be in different formats than .dat, such as .bin

You can also amend the file name to be simplified, just like with cues...

IE:

1  Marvel vs. Capcom 2
2  "MVC2.dat", 0x0000000, 0x0889B600
3  

File name would obviously be a simple MVC2.dat :)  

Hope this helps!

Sincerely, KMFDManic!