So I don't think this game works on the Wii. I have the same problems with the Mega Man X Collection:
1) Pop the game in the Wii, it starts up just fine. I can see all the menu screens. I can select a game.
2) The game itself (all the Anniversary games, most of the MMX games) give me the same black screen that Neo-Geo VC games give me. I can HEAR the game, but I can't see it.
3) Switching to composite, however, does not help this time.
Is there a solution to my woes? Does anybody else have this problem? Is it my TV? I love my TV.