I've compiled my own and it works flawless. Here's what to do:
1. Go to
http://www.mame.net/downmain.htmland download the mame source code (mame084s.zip in this case) and all 4 files under Win32 compile utilities.
2. Install MinGW-2.0.0-3.exe (make sure the directory is c:\MinGW)
3. Extract mingw-over.zip over the directory where you installed MinGW.
4. Extract gcc-3.2.2-20030208-1.tar.gz over that same directory.
5. Extract dx70_mgw.zip over the same directory.
(when extracting the files and asked if you wish to overwrite certain files, say yes)6. Extract mame084s.zip (you should now have a file called mame.zip)
7. Extract mame.zip (put it in a directory called c:\mamesource)
8. Create a file in c:\mamesource called mingw.bat (this can be created with notepad). In this file, type the following exactly:
path=c:\mingw\bin;%path%9. Run mingw.bat
10. Open the command prompt and type c:\mingw\make
After a while your created mame.exe should be in your mamesource directory. Also, you can go to
http://home.earthlink.net/~alank2/mame/custommame.htm and download a suite of patches that add some great features to mame like no bad warning screens and the ability to increase the volume, among other things. If you want to do this and need any help, just ask. Hope this helps.