OK.. I tried to follow these instructions:

1) Open "My Documents"
2) Create a folder called "MameCE"
3) Create a folder called "roms"
4) Stick the ZIP files of your games in this 'roms' folder.

..but I'm not allowed to create directories that are two levels deep in My Documents. And do I have to unzip the files first? I tried it both ways with the files in multiple places, but Mame doesn't add anything to the list. Can someone please help me out here?