The problem is, if you're like me, have onboard sound, using Windows (I'm on Win2K) and do not have dos drivers for your soundcard, you'll have to use an early version of the "windows console" version, or you won't have sounds.
This is why I cannot use .36 final. I tried the Windows version of 0.37b16 (when the people developping Mame decided to make the Windows console version the main development version), and it works OK on my system, fast enough for my 266 MHz. I had however to rename the file "mamew.exe" to "mame.exe" to make my front-end (MameClassic) recognize it.