I don't think anyone called you stupid, but if you want to do this, you need to read read read. Easiest thing to do would be to get the mameui that matches your roms, read their readme, and get tinkering. The reason its hard to find obvious information is because the files of the roms (games)that a lot of people download are illegal. If you want this information you will have to dig, and we can't guide you through that.
FYI you will need to open mame:
-open a game
-hit tab
-controls
-default controls
-hit enter on each key you want to set, and then tap the button on your tankstick.
Try that first.
Remember, If you want help you need to really think out your questions for us to be able to answer you properly.