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