Alright guys, I'm a little slow so bare with me.  Back last summer, I downloaded mame 0.132 to my XP computer and everything worked fine.  I messed with the command line stuff and everything was sweet.  I don't remember downloading anything other than the official mamedev.org version, but when I double click on the .exe file it brings me to a blue screen with all my roms listed and i arrow through them to get to the one I want.  This is the original version of MAME, correct?
Well, now I have the 0.137 romset and Do I need to update my mame.exe? 
 I assumed I did, so I downloaded version 0.137 double click the self extracting file.  There is no mame.exe in the extracted.  There are just a "docs" and "src" folders and "make file" and "what's new" file.  What am I doing wrong?  Can ya'll point me in the right direction for answers? 
I've google searched and searched these forums, but didn't find anything on this problem.  Help?