You must place mameboy executable and roms folder in the exact right spot in your directory structure.

It must be at either:

storage card/mameboy/mameboy.exe
storage card/mameboy/roms/dkongjr.zip

or

program files/mameboy/mameboy.exe
program files/mameboy/roms/dkongjr.zip


As you can see, you have to obtain game roms separately, as they are not included in the distribution.

If you have problems finding them, just e-mail me.