basically it comes down to this:
you need to have the right version of the rom that matches the version of mame you are wanting to use.
some roms are clones that require a parent rom to work. for example; pacman is a clone of puckman. in order to play the pacman rom, you need to also have the puckman rom. however the puckman rom can run just fine without the pacman rom, since it is the parent rom.
some roms require a bios rom in order for it to run, for example, NeoGeo games require the neogeo bios rom to be present in the roms folder in order for them to work.
some games require a CHD file as well as the rom to run. most of these games dont run that well unless you have a very powerful pc...but some of them do. CHD files are generally quite large, since they are hard drive images.
you will need to find roms for the version of mame you wish to run. i beleive there are programs that can convert them if you have the proper files. unfortunately because of forum rules, we cannot tell you where to get the roms.