It is likely that mame is prompting you for something, in order to see the mame DOS box (normally hidden by mamewah) make sure you have the "show dos box" option set to True
(I can't remember the numeric equivalent, I haven't edited the cfg files by hand since I started using DButt's MameWah Setup utility).
There also used to be (haven't checked in the last few versions) a file called debug.log in the mamewah (or mamwah\files?) directory. It showed the command line used by mamewah to launch mame. try copying and pasting that line into a dos box to see if it works then (or post it here).