Yes (at least 95% sure). 95% of the time, this is the issue. In the Mame directory there is a file called "mame.ini". You can edit it with notepad, it will probably say
### Input device options ###
mouse 0
now - just change that 0 to a 1. It comes standard with that set to a 0, and if it is still zero you would have no mouse control within Mame.