You need to compile advcfg and advv.
Jump into the location where your advancemame source lives, and type:
make cfg
make v
In the same folder, executable versions of advcfg and advv will be created, and can be used to configure AdvanceMAME. I don't know if it's abug that these aren't built with the standard "make" command, or if the author intended it that way. But it's been like that for 2 or 3 versions now. Kinda silly.