You probably should have spent more time reading and asking questions here before buying anything.
I think you are going to be VERY disappointed with the output from the hardware you purchased, especially the VGA to CGA converter. What you really want is to have the video card in your PC generate true 15KHz signals for the monitor. If you use the hardware you purchased to run MAME at normal PC resolutions and then send it through a video converter, it's going to look like blurry crap, to put it bluntly.
Here's what I think you need...
1)
Ultimarc J-PAC - connects your video and controls to the PC using the existing JAMMA harness in your cabinet.
2a)
Ultimarc ArcadeVGA 3000 video card - allows your PC to output 15KHz low-res signals for an arcade monitor. Comes with custom Ultimarc video drivers.
2b) An ATI Radeon 4xxx series video card + modified drivers (called CRT_EmuDriver. See my signature for info.)
You only need either 2a _OR_ 2b, not both.
2a is easier to set up, but it supports less video resolutions.
2b is harder to set up, but it supports many, many more video resolutions.
3) You're also going to need some sort of audio amplifier to push the PC audio through the existing cabinet speakers. There's no simple plug and play solution for this but most people take a cheap pair of PC speakers and hack them up and use the amplifier board. Here's what I did...
http://mame.3feetunder.com/pcspeakerhack/Finally, you should run a custom build of MAME that's designed for an arcade cabinet. The two choices that come to mind are:
1) CabMAME - you need to generate INI files for each game using a utility like Gavin Benson's Avres.
2) GroovyMAME - generates resolution info on the fly, so no need to generate individual INI files for each game.
I think GroovyMAME is the best choice of the two, but it takes more work to set it up and get it working optimally.
For further reading, check out the post I made in this thread...
http://forum.arcadecontrols.com/index.php/topic,121859.0.html