MAMEWah can be a little confusing to set up, but it's not really very hard at all. Almost all problems come down to naming conventions... I've found.
In order to use MAMEWah, I believe that you need to use the Windows command line version of MAME.
Look here... it's the very first file available for download.
A "command line" version simply means that there is no built-in "front end" drag and drop windows interface. The command line program is executed and passed attributes through the command line (or Command Prompt in Windows).
MAMEWah will, in effect, act as your front end to MAME (and any other emulator you wish to run).