The picture on post #2 is quite old, the tabs are now called
- SW Files (for choosing loose software you might have lying about - may or may not work, as Haze explained)
- Media View (for loading software into a particular slot)
- SW Items (for choosing software from software lists)
SW Items is the current way forward. The software and requirements are listed in xml files located in the hash folder. You need to create (if not already there) a folder called software. This folder needs to be included in the list of folders under Options, Directories, ROMs, otherwise no software will be found. Next, the software itself is not included with MAME, you have to go search for it. Can't help you with that.
When you get the software and place it correctly on your hard drive, then click on it from the list (to select it), then double-click, and it will work.