Anyway I finally got the roms working on my Compact Flash Card with the executable on the main memory. But for some reason, games stored on the CF runs much slower than with the one stored in the main memory. I noticed it when I was playing Pacman, MsPacman, Super Pac-man etc.. I thought that I just need to do a soft reset or free up some memory (I even had about 20mb of free program memory), but it still runs slow. So I decided to transfer it back to the main Memory, then tried it again and you really can see the big difference.
By the way I'm using MameCE3 on Cassiopeia E-125.