Mowler, it's pretty simple.
What you first need to do is download this program:
http://www.nullsoft.com/free/kailler...7-414-ka09.exe
Mame 32k, after you install it you will find it in your Program Files folder in your C: Drive.
As for roms, the only ones that we can find are dealt out at
http://www.romnation.net. Roms are the actual arcade games, while MAME emulates them (which shows it and lets you play it, as well as play multiplayer with it)
On romnation's page click on the Roms link on the sidebar, it will then read out a disclaimer scroll down and click "continue to our Roms Section" Then a list of systems will show up, you'll want Mame. Then it will show all the games they have for mame in A-Z order.Now when you pick the rom, it will ask you to vote and show 2 buttons. It's a stupid thing but you must do it or else the files do not work, follow the directions and then download it.
When you get the rom it will be in zip form, take the zip file to the Mame32k folder in the program files folder on your C: drive. Now you put it in the roms folder. Then open up Mame, then you go to file and audit all games then it will make sure your rom file is correct and working. It will tell you if anythings missing. Then close the Mame program and reopen it, you should find your roms in the avaliable folder in the Mame Program. Then you can just go there and open it. After it's all loaded and the game is playing press TAB, then you can edit your game controls. There you go.