Need a little more info on your setup, please:
1.  What version of Windows are you running?  (XP, Vista, 7 - 32, or 64-bit)?
2.  What version of Mame are your running?  Are you using a command line version, or a GUI version?
3.  Does your ROMset match your version of MAME?
(Can you provide a screenshot of the error message?)    

Thanks.
- John