Please be aware of the few harsh realities with MAME...
1) It's not totally user-friendly. -- Using MAMEui can help by giving you a GUI interface to work with.
2) You generally need to do a ROMset audit before you attempt to play any game on MAME. -- This will help show you what ROMsets will & won't work in your library.
3) MAME ROMSET sites are generally geared for a specific version of MAME. -- If you're using a different version of MAME than what's noted, you're likely going to run into issues as files within the ROMsets may require a different name for one version than another.
One tool that I highly recommend is CLR MAME Pro ( http://mamedev.emulab.it/clrmamepro/
), as it can help check for errors & even fix some errors within your ROMset library (as some files are used in multiple ROMsets). I'll note it's not that user-friendly, so it'll take you some time to figure it out. I've been able to increase my ROMset integrity by 10% with it as it eliminates some of the headaches trying to get the proper version.
Please be aware that SOME ROMsets require BIOS ROMsets. Neo-Geo titles (like the Metal Slug series) are known to require a BIOS ROMset.
You may want to visit a respectable gaming community with a healthy emulation / MAME group to help you pound out some of these issues.