hoo boy .. I'll try to help

First off .. get the default Dragon King skin working with snaps. Hammer that out before we jump over to custom skins where all sorts of issues could arise.
Your snaps should be stored in this directory in your example: e:\mame\snap\*.png
(you really using "e" drive?

)
Your dirs.ini should have: Primary Artwork Dir=e:\mame\
I would just leave my additional AW line blank for now.
Tell me how this works .. and I will continue to try to help from that.