it's acctully not all that hard , the only problem i ran into was trying to compile dos ver of mame on an xp system .. thing would compile the mame32 ver with no problems and even took a few custom gcc commands i snuck into it .. but for dos ( and thats whats needed for the FE ) it just puked , so keep this in mind when you go to compile , some os's dont care . others do ...
anyway , if you go step by step via the instructions on the mame page you should have no problems.