I got it working, and as I suspected it was my own dumb fault. Even though I thought for sure that I had the right path, my mame folder is actually under C:\Program Files\MAME so I had the wrong path.
Thanks for the help. Something I noticed with the 'final' version was if I switched to a different platform and then brought up the options menu it was almost invisible. It was like the transparency was set to 90% or more. When I bring up options after starting Mamewah it displays correctly, but once I change platform then it shows like that. Even if I change back to the first platform it still shows like that until I exit and restart the program. Because of this I went back to the previous version I had.
Last thing, can I turn off the sound from the previews but keep the other Mamewah sounds (up, down, start game, etc.)?