congrats! good feeling, eh? as most people here know, im pretty bad with computers and i constantly whine here about it. MAME is good because it seems pretty rock solid once you've figured it out- nothing will mysteriously change on you overnight like windows seems to do for instance.
the high score file works well for most games. some wont save but you cant have EVERYTHING for free

. and like thesmit says, its pretty much just a file like 'samples' and 'roms'.
now hurry up with those pics!