What version of the HDLoader are you using??? I'm also assuming that you have a modded ps2. For Neo Contra there is a PPF patch file that will make it playable. You can get that
HERE. You will need the file PPF-O-Matic to apply the patch. You can get that
HERE Just make an .iso image file and run the PPF-o-Matic EXE. If that doesn't work try
THIS
All of the other games you mentioned (The Sims 2, The Urbz, and Contra: Shattered Soldier) are compatible with a Fully Patched HDL. I believe the newest version is the HDL 0.7c. I don't think I can post where to get it, give me a PM and I'll let you know where you can get it if you need it.
Also the website
www.ps2hd.com has a full compatibility list of what games do and don't work with the HD Loader. Hope this helped.