Nope, that's the source. rbelmont is the sdlmame maintainer and the packages available at his site are sourcecode only, meaning you'll need to compile ... It's not difficult and there's some tutorials on the forums (linked from the main sdlmame page) but it might be easier for you to track down a binary.
Never used Puppy Linux so don't know whether there are binaries readily available. I think there are semi-official packages available for ubuntu, which no doubt Google will find for you. If you do want to try ubuntu, you'll probably actually be better off with "xubuntu" - this runs a less resource-intensive window manager and environment than the standard ubuntu. (There are other alternatives, too!)
I agree with tikbalang that a liveCD is probably a good idea to start with in any event.
Good luck!