Instructions
Download MAME from the official site (mamedev.org/roms). Click the link that leads to the Windows command-line binaries rather than the source code to download the installer. Save the installer in a separate folder.
Go to the folder you just made and double-click the MAME installer that you just downloaded. Click "Extract" to extract all of the necessary files and executables for running MAME.
Double-click "mame" or "mame.exe" to run MAME.