Read the sticky Mame guide at the top of the board.
Pay particular attention to the issues about Parent and Clone roms.
As a quick guide, you need to make sure you have downloaded all of the mame bios files and put them (leave them zipped) in the rom folder.
Games with several versions will only have one that contains all the game files (parent) the others just contain the few files that are different from the parent (clone).
The parent is usually the largest file in the group, you can also use Mame32/UI by looking at the 'cloneof' list in the game list, if there isn't any entry there then that particular game is a parent rom.
All roms must be left zipped and placed in the rom folder.
Your roms must be compatible with your version of mame. Most sites where you obtain such things will state what version of mame their roms are compatible with.
Older versions of commandline mame can be downloaded from the main Mame site. Older versions of Mame32 can be downloaded from
www.joymonkey.com