The reason the link does not work is that it has been taking down by Twisty per Haze's request. The build Leezer was posting is apparently not legal per MAME license. See the MAMEWorld forums for this information.
The above message to Hawq is applicable to you as well as knowing that MAME32FX, a legal build of MAME, has always utilized high score support and has not dropped it. See here:
In respects to all of this I will say that it would be nice if save state support was added for all games instead of utilizing this avenue. On the other hand, IMHO the "best" compromise would be to have high score support for a game until that game('s driver) supported save state support. Just my 2 cents.