The other way to solve this (if C: is formatted with NTFS) is to create a junction using
Junctionc:\downloads\junction.exe c:\mala\mame\roms "e:\documents and settings\mame\roms"
Junctions cause your computer to be redirected from one directory to another, e.g. the roms directory on C: to the roms directory on E:
Advantage - no programs or configuration files have to be changed. It just works.
Disadvantage - c:\mala\mame\roms can't have it's own content
and be a junction over to e: (junctions wouldn't 'combine' the two)
Disadvantage - Junctions are
notextra copies. They're more like a detour sign. Although Explorer will think that c: and e: both have 30GB of roms; if you delete a file from either, it's gone.