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.