Steven633,
Steven,
Go to the C prompt:
Start -> Run -> CMD <enter>
Change to the folder where your mame is located, for example:
CD \emulators\mame <enter>
Start Mame with a rom name, for example:
Mame pacman
The game will either start up or will give an error such as the rom has missing files which means your rom version is not for the version of Mame that you have.
As gonzo already pointed out, this command line version of Mame works well with a front end, or try the mame32 version which has a front end built in with a gui.