What is this error...(osd_init failed)

I get that error when I double clicked on a game to try and play them.

I just downloaded the latest MAME emulator (MAME32 0.116) and grabbed all 300 roms from the previous MAME rom folder and dropped it into the new ROM folder that belongs to the new MAME that I just downloaded.

Is that the proper way of doing it?

My friend have this problem too.
The differences is that he can play after he dropped the rom to rom folder. But then after he audit all games, the game can't be played at all.