Basically,
1. take the POST.FX file from either the hlsl_no_reflection or hlsl_with_reflection folders and replace the one in your MAME hlsl folder. (you can comment out sections of you don't want corner rounding and such).
2. Copy the appropriate CRT_xx.png file from the Artwork folder to your mame Artwork folder (if you don't have them already)
3. Then use the MASK_SETTINGS_.txt file to update your mame.ini file in the HLSL section to use one of the mask settings (shadow, slot or aperture).
You'll probably want to tweak more settings as well, but that should get you going.