I'm just wondering, what did you put in the other end of the connector? You hooked it directly to the speakers, or to RCA jacks and then to a stereo system?
EDIT:
Oh well, you already answered here:
http://www.neo-geo.com/forums/showthread.php?s=&threadid=87291
It doesn't need to be amped it works just hooked up to the speakers.
I guess it already outputs amped sound that can be directly hooked to regular speakers, and I also think it would be possible to wire it to 2 RCA jacks and connect them to a stereo system.
I was asking because it looks like we had trouble making it work connected to a 3.5 mm stereo jack (like the earphones one), due to the fact that in these type of connectors both the left and right audio channels share the same ground, while it is appearently mandatory that the + and - channels go separetely.