This is what I did. THis should get you started.
Get Mame for windows from mame.net and install. Put your roms in the rom folder this creates.
Get MameWah from Minwah's site and install. Sorry I don't remember the link. (google: MameWah)
You can get Dave Butler's MameWah Setup by googling Mamewah Setup
I didn't end up using that but once you get Mame and Mamewah installed open mamewah and press 2
This opens up the menu.
Press 1 to enter the emulator settings
Go to Set Emulator Path and press 1 and enter the path to where your Mame.exe lives.
MameWah sets up all the basic stuff up for you. If you read the documentation on these programs it explains a lot of the optional settings but this should get you started.
You then need to go to the game list menu and refresh the game list.
In My head this should work. I don't have it in front of me and this is all from memory.
If I screwed anything up someone let me know. I don't have the program set up in front of me since I'm at work.
-G