The MAME emulator has ROM files which are required to play the game. Some of these ROM files also have corresponding CHD files which go with it.
All of the ROM files go into the "roms" directory located with the Mame install directory. Inside the "roms" directory, you need to create another directory for each CHD name and then place the CHD files within this newly created directory.
For example (for Area51 game):
ROM file location ---> C:\mame\roms\area51.zip
CHD file location ---> C:\mame\roms\area51\area51.chd
Hope this helps