Actually, it should work fine without doing anything. If it doesn't:
Well - the simplest way is to go into the tab menu in MAME and look (probably under Inputs -all games - User Interface) - For UI LEFT - and press the joysticks left so it probably says J1Left and UI RIGHT and press the joystick RIGHT so it probably says J1Right.
Then it will work.
The better way is to go into your MAME.ini file and set
-skip disclaimer
-skip gameinfo
-skip warnings
-skip baddumps
on, but you might need buddaMAME or NoNAMEMAME to have all the options,
Or see
this page or SirPoonga has some hacks on his page to do this as well.