you are probably missing the html help files.
If you d/ the source code from mame 32 I think there are some files that you have to manually move to the include directory of gcc
Download the latest Mame32 source.
http://www.classicgaming.com/mame32qa/down.htmExtract the contents of the file, allowing directories to be created.
Overlay the Mame32 directory structure [and subs] onto the baseline Mame directory. Make sure the ui/ folder goes into the src/ folder.
Part of the compile instruction state.
Move the contents of the Mame32 source \htmlhelp directory to their appropriate MingW directories from the fist step.
htmlhelp.h to \MinGW\include\
htmlhelp.lib to \MinGW\lib\