Obvious, you do not have experience... Here:
Where to put them!
CHD files need to be put in their own folders in you main Roms folder.
For example Killer Instinct uses a romfile called kinst.zip and a hard disk file called kinst.chd. First the rom file need to be put (Still zipped!) into the main Mame roms folder (Normally C:\Mame\Roms). You then need to create a new folder in your roms folder called kinst and copy the kinst.chd (Not zipped!) file into it (C:\Mame\Roms\kinst). If you are unsure how to create folders then have a look at the Windows Basics page as it has a description of what to do.
If you've done this correctly then your folder should look something like this...
ENJOY!