Don't feel dumb, we all start out as "n00bies"....
You have to check, but the FrontEnd will state if it is for DOS or Windows. Then, depending on your OS, you can run DosMAME or the commandline windows mame (which is the main download at mame.net).
For example, on my cab I'm running Win98. I'm currently using EmuLoader frontend pointed to the windows command line version of Mame.