Sorry, the help desk is only open for non-idots except on Tuesdays.
The best version is either the standard (nonDOS) mame or run a google search for fastmame. The roms go into the \roms\ subdirectory of your mame directory. As for the mame, you can put that anywhere as long as you remember where you put it.
To make it go (after mame and roms are installed), press "6" (the p2 start button) and that will bring up the menu. I'm sure you can figure it out from there.