Follow these instructions
http://www.mame.net/compilewin.htmlHowever, don't use the links in the instructions, goto the download page/Main downloads.
You will need (vor 0.92 or newer)
mame099s.zip
MinGW-3.2.0-rc-3.exe
mingw-over-092.zip
One thing the instructions won't say is you need to extract mingw-over into the mingw folder.
Basic summary of what is going on
Download files.
Install MingW.
Update MingW libraries and Includes (with ming-over)
setup environment variables (so mingw knows where stuff is)
extract mame source code
compile mame.
compiling mame isn;t that hard, until something goes wrong then you have to know something about programming and compiling to fix.