Help with starting MAME!!

Whenever I click on MAME to bring the window for it up it says "Cannot find the documentation" What the heck does that mean. Also what are the other icons that came along with mame. They are called "chdman" "jedutil" ledutil" and "romcmp" Whenever I click on those a black window comes up for a second then dissapears. Help is appreciated thanks.

You are trying to run the command-line version of mame. Since obviously you know nothing about the command-line, you should find and download mame32 instead.