Make sure you have correct ROM sets. if not sure, download them again from www.mame.dk
Only certain games are supportd. For the list of all supported games, select 'Show All Games' option in MAMEBoy.
Try to change global key configuration, or if that fails, try to change it individually for each game.
There's a thread below with a guy who made it work.
> Hello folks, I to am having the problems that some others have had. I placed
> a number of ROMS into the ProgramFiles\mameboy\roms directory and can only get
> Galaga (hacked romset), ms. pacman, 1942 and 1941 to work. I click play on the
> others and nothing happens. For example, games like Donkey Kong (dkong.zip) do
> not work. I am also having problems with resetting the fire button from the
> recorder key. I have it assigned to start and when I attempt to go into the
> "this games keys" option, the MAMABoy crashes and aI have to reset my unit.
> Any Ideas?