What version of MAME are you using? There are so many different versions!

The easiest version to use for Windows is MAMEUI:

http://www.mameui.info/

You just download, unzip place the ROMS in the ROMS directory and launch. It's pretty straight forward.

The executable version of MAME from the main webpage requires a GUI interface to be downloaded separately, referred to as a "MAME frontend". If not, you have to type commands manually from the command prompt!

I'd stick to MAMEUI. if you're using Windows.