Under "Mame Config" Tab, "Basics" subtab, make sure your ROM path is set properly. Mine is in a completely different place to MAME's executable so don't worry about that.
Also under "Mame Config" Tab, "Additional", make sure you have Command Line set to %rom%
Incidentally, on that same tab, choose "hidden" to avoid seeing that dos box appear - once you've got it all working, of course
If it still doesn't work, make sure MAME is working properly first outside of MaLa.
- Open a command prompt (Start button > Run > "cmd" and hit enter)
- type cd \mame\ (or wherever you have MAME installed) and hit enter
- type mame galaga (or some ROM you have available in the default roms directory) and hit enter
If you get another error that doesn't make sense to you, tell us about it here. The fact that you're doing this in an already-opened command prompt window means it won't disappear and it'll give you a chance to read it.
If your ROMs are saved in some other location, change that last step to
mame "c:\my-roms\directory\galaga.zip"