You need to make sure you have a mame.ini (for windows mame.exe) or mame.cfg if you use dos mame. MAMEWAH reads the location of your snaps from this file - make sure you have your snaps in the right directory.
And yes, Howards right, they should be unzipped png's.
That's assuming your using MAME - for other emus you can state the snap location in the 'Emulator Options' menu (& jpg's, pcx's, bmp's, gifs or png's can be used).
Let me know if you still can't get it to work...