Its alittle more confusing than just putting the roms in the rom folder in Mame 32, I will do my best to explain to you how to get it working.
1. Before you start, Im assuming you are using CDs, and MAME32, and when you put the CDs in they are going to be "RAR" files. You need to download winrar, which is free, and once you have that on your computer, your roms will be able to work. I cant remember the exact link, just go to google and search winrar.
2. Put your first CD in and you will get a bunch of icons of the games. Right click one of them and go to "extract file" in the menu that pops up from right clicking it.
3. It will then give u alist of the folders you can extract them too, you need to go to your mame folder, then the subfolder "Roms". Then click extract.
4. For me, by just doing this to one of the game icons, it went down the list and extracted all of them, but if it doesn't, instead of clicking one game, select all of the icons and extract them to the roms folder like I told you. when that CD is done, go to your next cd, until all your games are extracted into the roms folder.
5. When you are done, click on your mame 32 icon, when the program opens, go to file, then audit games. It should now recognize all of your roms. If it doesnt, im guessing you accidentally extracted them to the wrong folder, wherever you find them extracted too, just select all of the icons, right click and go to "copy", then go to your mame32 folder, open your roms folder, and paste them all in there. They should now work.
If anyone notices any flaws in my instructions please post them so this person knows, hope I could help, thanks.