Many games in Mame support high-score saving without highscore.dat- these games originally saved high-scores even after the game was reset or un-plugged. For games that didn't have this feature, highscore.dat adds the function for them to save scores.
1. You put it in your "Hi" folder the same folder as mame.exe
2. You don't have to do anything else with it.
3. It doesn't contain any highscores, it just gives games the ability to save their own highscore file (these are saved in the Hi folder with the extension .hi)
Edit: fixed answer 1