If you don't have the game (the ROM's game, usualy in a zip file) it won't work, also you need to place the roms and Bios if needed in your rompath or Mame "roms" subfolder. That's why not work.
Emulators make the computer act like the other hardware, arcade machines on Mame, but the hardware is useless woithput software, and that's waht the roms are.