That wasn't mame that showed those options, it was some derivative like MAMEUI or MAME32.
You can download the latest version of MAMEUI here (64-bit only):
http://www.mameui.info/The only reason the list of games was added to the official mame build was because they were tired of people who didn't know how to use it complaining that nothing happened when they clicked on the exe.
It used to be that you had to launch MAME via "command line", basically a batch file that launched MAME and specified the game to be launched.
If you didn't specify a game, nothing would happen.