Sounds like your roms aren't compatible with the version you are using. The 'Working' info in the bottom right pane simply tells you if the game works in that version of mame not wether your rom is valid, it would display the same info even if you had no roms in your rom folder at all.
If you right click the game you want to play from the mame32 menu, then select 'audit' does it advise you that any files are missing?.
Why are you using such an old versions of the emulator?, if you've sourced your roms recently its likely they will only work with more recent builds.
Mamedev regularly update roms and drivers meaning your romset has to be compatible with the version number of mame you are using.
Also just double checking, you do actually have zipped roms in your rom folder?.