What command line are you using for make? You should use "make MAMEOS=msdos", or change the makefile.
Also, what OS is the compiling computer running? DOS MAME  won't compile on a computer that doesn't have long file name support. It'll run, but it won't compile.
Good luck!
Buddabing
I'm using the   make MAMEOS=msdos  command.  Also, I'm using windows 98 and running the compiler via a DOS prompt.
How can I make my computer support long file names?  
I think that might be my issue,  because when I look at a directory through a DOS prompt, my files names are shortened from something like   mame79++.exe    to    mame7~1.exe.
Thanks!
Just read this on google!
 djgpp.env disables long filnename support.
At the time the developers weren't sure whether or not it was
stable enough.  Now that we know that it is, set LFN=y in your
autoexec.bat and you'll get the long filenames back.
So, should I just add ..
"  Set LFN=Y  "    in my autoexec before I envoke the DJGPP.env?