As much as it pains me to help a Mala user...

The big question is are you using Mame32, or Mame command line? Mame32 automatically creates an ini file for you on launch, IIRC. If you are using a front end, you should really be using the command line version anyways. Assuming you have the command line version, you need to run mame from a command line with the -cc switch. The error you are getting is most likely due to you not being in the correct directory.
Assuming your Mame directory is located in C:\Mame, you would type the following at a command line, or click on Start, then Run for Windows machines:
C:\Mame\Mame.exe -cc
That's it! A few seconds later, you will have a nice, shiny and new mame.ini file located in your Mame directory.
Enjoy!