Make sure your artwork directory is set in your Mame.ini file. Also go to "Core Artwork Options" in that file, and change all those settings to 1.
In game (such as Donkey Kong), press TAB to bring up Mame options. Choose Upright Artwork, Bezel enabled (the others don't matter for this game), and view = cropped.
When you edit the ini file, this might turn it on for other games, such as Teenage Mutant Ninja Turtles. Just go into that same menu for that game and turn it to standard or pixel aspect (whichever works best for your screen.) These settings are saved for just the game you're on, and won't affect other games.