It sounds like Mala isn't passing the rom name to Mame or Mame has the wrong rom for the game you're trying to run. Is the rom path set correctly in Mala? Also have you refreshed your main game list (right-clicking and choosing refresh main game list).
When I want to find out what Mala is passing to Mame, I create a batch file called mame.cmd using notepad with the following contents:
echo %1
pause
mame %1
pause
exit
I place this mame.cmd into the same folder where mame resides. I set Mala to run mame.cmd instead of mame.exe. I set the window to be normal and NOT hidden. I then refresh the mame game list.
Now when you choose a game in Mala, the black window will stay up. When it first runs it should "echo" or display the rom name. It it doesn't there's the problem, come back here for help. After this first echo, it pauses until you press a key.
Next it attempts to run mame with the rom name. After mame exits with its error the black window should pause allowing you to read what the error is which will further allow you to troubleshoot.