It sounds like you've downloaded commandline mame. You need to open a command prompt to set it up then either launch from a commandline or set it up with a front-end.
If what I typed above makes no sense your better bet would be to download Mame32 from
here (you want the full install package not the source). This is basically a version of mame that runs with a user interface and menus.
Once you have it extracted and installed, you place any game roms (
leave them zipped), into the roms folder, load mame32, click 'file' then 'audit all' and if your roms are good the games will appear as playable in the menu and you simply double click them to launch.
Hope that helps.