Check your mame.ini file - Mame should display it as soon as you drop the Rom in there. The .ini file will be in the same directory as mame.exe. Look for this entry:
#
# CORE SEARCH PATH OPTIONS
#
rompath C:\Mame
If you don't have a mame.ini file, generate one by running mame with the -cc switch.
(Start, Run, C:\mame.exe -cc)
In both the rompath and the run command change the path to wherever you have the Mame executable.