Read-only memory (commonly abbreviated as a ROM) is one of multiple storage devices around the world. It consists a EEPROM holding the data on a chip that can only be read, and cannot overwrite the data without hard-and-skilled modification.
In the VGM scene, a ROM is used for some sound chips that play sampled instruments (e.g.: YM2608 drums, CP System II's QSound and the MoonSound cartridge). In order to hear MSX VGMs that make use of MoonSound cartridge, you need a file named YRM801.ROM, which is very easy to find around the Internet. When it is downloaded to your PC, put them into the in_vgm / VGMPlay's folder.