Thanks for the reply by the way!
I must be really missing something here.
It's probably the simplest thing, that why it's so hard.
Are you refurring to the Lazarus Documentation or the Mame documentation.
Say I had a game named "Mario.zip" do I have to name the screenshot "Mario.png"

I put it into both Lazarus' "dswmedia" directory and aslo the Mame (not 32) "artwork" directory.
I have also change Lazarus' dirs.ini to reflect this.
What am I doing wrong!!!???
I have read the Lazarus documentation and there is no step-by-step guide.
Can someone give me a link.
Maybe I read the wrong documentation.