Taken from Altera's website: Important: Altera recommends using the altsyncram megafunction instead of the lpm_rom megafunction. This megafunction is provided only for backward compatibility. This option is available for all Altera devices except MAX 3000 and MAX 7000 devices.
Are you using a MAX3000 or MAX 7000?
Other than that, reading a ROM normally just takes placing the address on the address input and enabling the read along with the clock.