A couple things could be going on. First, have you compiled mame before? Did you do it from the command line, or were you using
MameCompiler?
Second, did you you get the new compile tools from
mameDev? Mame 0.136u1 uses a new set than prior versions. (Is that MameCompiler isn't updated yet why you're trying to compile from the commandline?)
Third, have you read the new mame tools page I linked above? It includes the step I think you're missing: add the mingw bin to the path. I'd do it a little different than that page says though. in windows explorer, go the the mingw bin folder, go to the address bar and ctrl-C to copy the folder path. In the command line windows (the one that show after 'cmd'), type exactly "
set path=%path%;" but don't press enter yet. Be sure to include that semicolon. Right click the mouse in the command line window, and select paste. Now press enter. Then try the "make".