I'm not really sure what you mean either. You can't really load pictures into MAME.
I'm assuming you mean you want to load them into your front end, such as Mame32 or MameWah. To do that, take the pictures, convert them like RayB said, then put them into the cabinet folder in your MAME directory. Then set up MAME32 as was stated or for MameWah you need to point an artwork field to the cabinet folder. It will then show up on your layout assuming there is a spot in the layout for the pictures.