I've installed the Extra Large Build (made the folders \Mame and Mame\ROMS, and copied the 5MB exe-file to \Mame, the GX.dll to \Windows)
When I start the exe-file I get a blank screen with a 'Play' and a an 'Exit' button in the lower part of the screen. I loaded a few games, Asteriods (rev 2), and Galaga, but whenever I try to start a game the screen goes
black for a second and I'm returned to the game list. I have no other programs running (except the File Explorer), and I have 10 MB allocated to programs, of which 8 MB
is free. I have tried soft resetting the device.
Any help would be appreciated!

And I copied a lot of this from a post below, because I was having the same problems but couldn't find a solution.