Mame doesn the roms recognize put in, only the ones it has, help

Are you using the GUI version or CLI?
I use mame 32 as i find it easy to work with, in any case what you need to do inside the mame folder is create a new folder called Roms. if the folder does not exist.
Each rom you download must be put in this folder, when you run mame you have to do an audit of all the roms.
This can be found in the file tab, then the pulldown menu at the bottom.
it checks to see all the files are there for each game to use.

yup, mame needs to scan for new roms every time you download new ones

Yeah, use Mame32 (or MameFX, or any version of MAME with a GUI) for simplicity. Remember to rescan for new ROMS each time you add new ones to your library.

Also remember that some ROMS need one of more system bios as well [eg: neogeo.zip for the Neo Geo]