allright...I didn't get it going last night, I didn't sleep well because of it! 
I have a question....where exactly is the extracted file going to go? I know it says the mame directory but just for the record what is that? I have a folder on my drive called mame, in that folder are several other folders (samples, snap, titles......) there are also things that are not folders, like if you click on them they don't open to more stuff (chdman, mame, romcomp....) there is a file in there that is my ini it has a litle notepad and a sprocket it says configuration settings. So now I don't know where to put the hiscore dat. I put it in the "mame" folder and it appears as a file folder in there. I know I am doing something wrong, I just don't know whatit is.
Poor guy! Lets see if I can help.....
download hiscore.dat
put it in the root of your mame folder
make sure you have a hi folder
make sure mame.ini points to the hi folder for highscores
Then pick a game and check it out. Be warned, games that are using a cheat will not save a hiscore. I ran into a problem testing my setup out while using the sped up version of ms. pacman. It never saves a hiscore - but almost all the rest of the games work.
Good luck - message me if I can help any further.