My mame exe. is the the folder titled "mame latest" on my desktop
Because it is on the desktop your path would be a little longer
C:\Documents and Settings\
<userid here>\Desktop\mame latest
but I have a better idea for you.
Try this:
1. Open the folder that mame.exe is in
2. Right click an empty spot in the folder and choose new...shortcut
3. Under
"Type the location for this item" type cmd.exe and hit next
4. Should say cmd.exe under
"Type a name for this shortcut:", hit finish. (doesn't really matter what you call it)
5. Right click on the shortcut you just created and select properties
6. If there is anything in the
Start in field delete it and hit OK
7. Double click the shortcut you just created. You should see something like:
C:\Documents and Settings\
<userid here>\Desktop\mame latest>
8. Type mame.exe -cc and hit enter (if that does not work type mame.exe -createconfig)
9. Cross your fingers and hope that it works
So now I'm wondering if this even worth it at all?
There are a lot of other config changes you can make in this file so I think it is worth creating, even if you just open it and look at it.
Wow you are being seriously patient with me thanks
That is what we are here for.

***EDIT****
Just realized that you meant is it worth it to upgrade since some games don't work. That my friend is a whole other can of worms. With upgrades some games get fixed and some get broken. I posted the question a while back
"If it ain't broke" or "onward upward" that you could read. Look at
maws as well, you can search your games to see if there is a newer version.
For example if I search Ajex and look under the data section I see
version added .036b02
last change(s) .128u4 .071
I am running mame .128 so if I update to .128u4 or higher I will need a newer ROM.
Hope that helps