Hi robneal81,
It's a miracle that GroovyMAME worked fine without creating its specific ini. What you have to do is place their executables (GroovyMAME/UME) in an empty folder, then from command line run:
>groovymame.exe -cc
>groovyume.exe -cc
This will create both mame.ini and ume.ini as required by the 'Groovy' builds. Then edit the usual options for rompaths, etc.
I JUST noticed your response!  I'm so sorry, I never got an auto-notification!
Anyway, I actually just tried that again to make sure I didn't do anything wrong the first time and I still get the same error I posted above.  I feel like I'm missing something simple.  I'm not a total amateur though, as my setup is working fine otherwise:
I have MAME working perfectly, using GroovyMAME.  
I have MESS working fine as well.  For testing, I extracted UME to my MESS directory and changed my launch command to "ume.exe", instead of "mess.exe".  That works perfect too.  Then, if I extract GroovyUME to the same directory and switch my launch command to it, nothing happens.  If I run the command manually in DOS, I get the error I posted.
Am I just making a silly mistake?