Are you using commandline mame plus or the GUI version?.
If its commandline you need to use the command prompt to generate an .ini file.
Click the start button on your desktop, select 'Run' and type cmd. This will open a command prompt.
Now change the directory to wherever you've put your mame plus folder. So for example if Mame Plus is in E:\emulators\mameplus you would do the following:
C:> E: <press return>
E:> cd E:\emulators\mameplus <press return>
E:\emulators\mameplus> mameplus -cc <press return>
Now you'll have a mameplus.ini file in your mame plus folder and you can open it with notepad and set things like your rom paths etc.
All you need to do is substitue your mameplus location for the one shown above and whatever the .exe name is so if the exe is mamepp.exe you type mamepp -cc, etc, etc.
Hope that makes sense.
If you're using a version with a GUI like MameUI32 just select 'options' then 'directories'.
And can MAME plus run Donkey Kong?
Yes.