ok first off, open a command line (type cmd.exe in the searchbox/runbox in the windows menu)
navigate to your mame install (usually c:\mame)
type "mame.exe -cc" (or whatever your mame exe is called)
You'll now have a mame.ini in your mame folder. This is where all of your settings are stored. You'll need this to tweak things.
To answer your question:
By default mame looks in the "roms" folder inside your mame folder for roms, but you can set that to anything by editing a line in the mame.ini.