The tankstick comes with "greatest hits" discs that are PC versions of some arcade games.
That's not what most people in this hobby use.
Most people rely on a myriad of emulators, starting off with MAME.
Learn to set up and use the software before doing anything else.
None of this stuff is plug and play. It's not commercial software.
You'll need to dedicate dozens of hours (if not more) to learning how to set up emulators and a front end.
You may decide it's something that's too much hassle to learn, depending on your current level of knowledge.
The official MAME build is a command line emulator. It doesn't have a snazzy interface to select games and such.
They added an ugly interface after they got tired of people (who hadn't read the instructions) complaining that nothing happened when they clicked on the exe.
Most noobs start with a UI (user interface) version.
You can download the current version of MAMEUI here:
http://www.mameui.info/It's against the forum rules to tell you where to get roms.
That will get you started anyway. As you add more games and play with options, you'll see how complicated things can get.
Some games won't work because you'll be missing the separate sound board or bios roms.
Some games won't work because the roms you found are from an older revision of MAME.
People on here crack on the tankstick, but it's a good value IMO.
I used one for a few years until I built a cabinet from scratch.