I know that I had a couple problems getting it working, and here's what my problems were.
1. Had an older version of Direct X
2. Copied my files (Roms, mame, and mamewah) from one PC to another using a DVD, and once copied to the new computer, it wouldn't run. I had to uncheck all the files / folders from "Read Only"
Those were my main problems. I hope one of these helps you out.