From the AdvanceMenu DOCUMENTATION:
Windows MAME:
http://advancemame.sourceforge.net/doc-advmenu.html#4.4XMAME:
http://advancemame.sourceforge.net/doc-advmenu.html#4.5DOS MAME:
http://advancemame.sourceforge.net/doc-advmenu.html#4.64.4 mame - Windows MAME
For the `mame' emulator the roms information is gathered from the file `EMUNAME.xml'. If this file doesn't exist, it's created automatically with emulator `-listxml' command.
The directories specified in the `rompath' option in the `mame.ini' file are used to detect the list of the available roms.
The directory specified in `snap_directory' is used to detect the list of available snapshots.
4.5 xmame - xmame
For the `xmame' emulator the roms informations are gathered from the file `EMUNAME.xml'. If this file doesn't exist, it's created automatically with emulator `-listxml' command.
The directories specified in the `rompath' option in the `HOME/.xmame/mamerc' file are used to detect the list of the available roms.
The directory specified in `screenshotdir' is used to detect the list of available snapshots files.
4.6 dmame - DOS MAME
For the `dmame' emulator the roms informations are gathered from the file `EMUNAME.xml'. If this file doesn't exist, it's created automatically with emulator `-listxml' command.
The directories specified in the `rompath' option in the `mame.cfg' file are used to detect the list of the available roms.
The directory specified in `snap' is used to detect the list of available snapshots.
Simply put, in your EMULATOR'S (not front-end's) config file, specify the correct location for `snap_directory', `screenshotdir' or `snap' (corresponding from the above) and your screenshots will show up.
The reason it looks in your emulator's config file and not the frontend's is because AdvanceMenu can be a frontend for several emulators simultaneously, and simply looks at the native screenshot location that the emulator uses when you press "F12" (or whatever you assign to take a screenshot).
been trying for about half an hour
I found the information in the docs in 30 seconds. I'm not trying to me a smartarse or petulant here, but more people need to read the excellent documentation provided with the software they use. The author put a lot of effort into it, and did so in their own spare time for free. Reading it start to finish will give you quite a number of very useful hints and tips about how to best use the software.
I see people every day pay for third-party books on a variety of technical topics, yet never read free documentation provided by the software authors, which is often the best source of information. "From the horses mouth" so to speak. And you can't beat the price!