Incase anyone else is having same problems this is what I did to fix it:
a. I had downloaded MAME32.EXE using the GAMEEX setup. It appears that my PC did not like the dowloaded version of MAME32 that was installed becuase whenever I tried to run the file on its on, it would come up with my old mate DR WATSON and the usual 'Do you want to send this to Microsoft?' dialog box.
Anyway i downloaded another version of the MAME32.exe (0.81) and made sure that I could actually launch it, which I could thankfully.
b. Next problem now appears - Gameex doesn't create the list of ROMs I have. So to fix this I pointed Gameex back to the MAME32.exe which did not function. The ROM list gets generated and then I repoint GAMEEX back to the working MAME32.EXE..
Hmmm all a bit fluffying aroudn but I am glad to get it going.
I am now trying to set GAMEEX up so that when I boot my PC it automatically goes into GAMEEX.
Anyone got any tips for me on how to do this?