It says its not compatable with my OS, does MAMEUI work with Vista?
EDIT: Downloaded wrong program, my bad.
EDIT2: It won't let any ROMs work. It says files are missing. How the hell do I use this?
There are 4 main reasons roms will report missing files.
Certain arcade systems (like NeoGeo) require a bios rom to be in the mame roms folder. So for example non of the SNK/neoGeo games will work without the neogeo.zip bios rom present in the rom folder. Your best bet in this case would be to google for Mame bios roms and put them in the roms folder (leave them zipped just like a game rom).
Some games (around 70 of them) used mass storage like a hard drive, CD-Rom etc. These titles require both the game rom (typically a few Mb)
and a CHD (anywhere from 500Mb to 5Gb). So for example to run killer Instinct you need the Killer Instinct rom and the Killer Instinct CHD in the rom folder for the game to work.
Many arcade games had lots of different variants (released in different territories, board revisions etc). rather than have a full sized rom for each variant Mame has one 'Parent' rom for that game that has all the core game files and all the other variants are known as clones and just contain the few files that are different from the main version. You must have the parent version of any given game for it or any of its variant roms to work. For example there are more than 30 different variants of Street Fighter II.
Generally speaking when downloading a game with several different versions the larger one is usually the parent. Mame32 will also tell you which is the parent as there will be no 'cloneof' info reported in the gamelist window for parent roms.
As time passes and Mame is updated, many of the roms have had newer dumps or hacks removed meaning you need to download roms that work with the version of mame you are using. Most decent sites hosting mame stuff will also report what version of Mame they are up to date for. All previous versions of Mame are available for download.