Liquid,
I had trouble with this, too. Three things I learned: 1) Many roms online are bad, incomplete, etc. 2) It works best if you find roms from the rom set that match your version of Mame. You may need to upgrade to a newer version of Mame, because it's hard to find older rom sets. 3) Some roms just don't work with Mame. I eventually got about 95 percent of the games I needed working great, so there's much trial and error. Good luck!