I was having this problem the first time I loaded up mame.
- Where have you put the zip file of the ROMs?
- Have you made sure that this folder is the same one as the preferences? (this can be found under MAME at the top menu)
I tried to create a ROMS folder in the place indicated in the help files but this didn't seem to work so I created a Mame folder in my documents and Roms etc subfolders inside that. Once I pointed MAME to that folder it worked fine.