Fairly easy to do:
1. Create a subfolder [videos] in your emulator's folder. (D:\MAME\Videos)
2. Name the video exactly as the rom it applies to is named, but keep the movie's extension (D:\MAME\Videos\ddragon.avi)
3. Point Maximus Arcade to that folder in the preferences utility
a. Open Preferences
b. Go to the 'Configuration' tab
c. Select your emulator under the 'Configuration for:' item
d. Populate the 'Movie (optional):' field with the folder you created to store your videos.
e. Close preferences
4. Open Maximus Arcade to make sure the video works
Note that movies must be: MPG, AVE, WMV, FLV, or MNG format. I bought a subscription to emumovies & used their downloader service to grab movies for all of my roms. Their movies are supplied as MP4, but they also have an MP4 to AVI converter available that is easy to use. (emumovies also supplies all of the other artwork you may want for your roms)