Is your folder shared?
Click on Start -->Run -->and in the box type CMD
You should have a dos box.
Type this in the subdirectory of your roms: attrib -R <mame rom folder>
Don't type <mame rom folder> bit just the subdirectory name - duh.... I know.

That should fix it, but I think it is a sharing issue or a program is using the rom directory so you should do this with no front ends or programs running, except the usual suspects like Norton......
Let us know if this fixed the problem.
