What I did was create a quick batch file and drag the zip file onto the batch file. You will need to modify your paths accordingly:
cd c:\arcade\emulators\mame
mame c:\arcade\emulator\mame\roms\%1
pause
This will run the rom that you drop on the batch file and leave the dos window open when it is done so you can see the errors. I am sure there is a better way but this was my way.