Mountaindew,. You need to collect the roms. That list is just an autopopulating list showing all roms that came out that WILL work with mame.
It should be noted there are 'some' free roms on the Mame website. Some have also been given over to the community by their developers.
You may or may not see DVDs listed on Ebay that sell a 'package' of the MAME software ready to go. Go have a look Turns out in the US and Canada you can't.
I hope company's (Rights holders) release commercial collections specifically for mame surely they are missing a trick?