It looks like you haven't followed the instructions because it can't find those files. The instruction are for an older version of Mame so you understand you have to download the latest ones? The instructions are just a guide.
For MameUI 0136u3 follow these instructions.
1. Create a folder C:\MinGW\source\MameUI0136u3
2. Download the hiscore hi_136u2.txt from
here and copy it into the C:\MinGW\patches (you can rename it to hi_136u2.diff if you like but it doesn't matter)
3. Download the mame0136s.zip from
here and extract to C:\MinGW\source\MameUI0136u3
4. Download the updates from
here (0136u1_diff, 0136u2_diff and 0136u3_diff) and extract them to C:\MinGW\patches
5. Download MameUI source from
here extract somewhere then copy the winui folder to C:\MinGW\source\MameUI0136u3\src\osd and copy the MameUI.mak to C:\MinGW\source\MameUI0136u3
6. Apply the official Mame patches 0136u1_diff, 0136u2_diff then 0136u3_diff. Apply them by browsing to each one selecting it from the file browser then selecting "Apply Patch"
7. Now apply the Hiscore patch you downloaded from step 2 (Eg. hi_136u2.diff or hi_136u2.txt depending on how you saved it)
8. Set your "Mame Source Folder" to C:\MinGW\source\MameUI0136u3 and check you have MameUI Compile Option ticked
9. Click GO! to compile.
NOTE: To compile "vanilla" Mame skip the MameUI related steps or just take the tick off "MameUI" as you can still compile standard Mame aswell.