Thanks for the info on the .ST files. I was wondering if these game files might be wrong to use on the Cosmos since they come with emulators. But from the replies so far, it doesn't sound like there are different kinds of .ST files.
I've been trying .ST files from a large torrent collection I grabbed a while back. It is the "Atari ST TOSEC & GamebaseST" collection. Inside it are two separate collections. One is "Atari ST TOSEC (2009-09-01)" and the other is "GamebaseST 3.1d". I've just tried games from the TOSEC collection so far. There is also a "D-BUG" set and a collection of emulators. I did see the "D-BUG" set is the hard drive fixed games.
I've got a STf. I upgraded the TOS to 1.04. I have no idea how much memory it is. So far, I've just tried them over the shared drive from a Windows machine. The PPDRIVER is on its way now, thanks Peter, and I'll get the SD card and USB card set up soon and try some games from there.
I'll try some games from some different places. Maybe I haven't found the cracked versions yet? I did see some of those games have 4 or 5 different versions and I haven't tried them all. I also have a collection called "Atari ST - Games (TOSEC-v0.24_CM)". And a few smaller sets from a long time ago. It's not a huge deal if I can't get it fully working. I'm mainly just after a few of the games we used to play back in the day like Blood Money, Puffy's Saga, North & South, and a few others.
I also just picked up a 520STm. I'll try the Cosmos on it with the TOS upgrade. Maybe my STf is just being flaky.