Do only certian games in Mame save high scores?

[CitznFish]

I can't seem to save high scores for Galga, Centipede, etc.  They stay as long as I keep the game running, but once I stop and restart the game the high scores are reset. I see a folder called C:\mame\contrib\hiscore but I think it's just default high scores

[SirPoonga]

yeah, you need the hiscore file from mame.net