Goto click here and download at least MAME32 0.72 This version has a GUI interface.
Then go hunting for the game ROMS. These are .zip files BUT DON'T EXTRACT THEM.
Simply copy and paste them to the ROM directory under where you have installed MAME.
Find MAME32.exe icon and double-click to open. If the games don't appear, on the menu bar choose File and Audit All Games. This should update all the games you have copied to the ROM directory.