Instructions
Navigate to the official MAME website on your Internet browser.
Click "Latest Release" under "Downloads" on the left side of the screen.
Click the link under "Official Windows Binary Packages" that corresponds to the version you wish to download. For example, if you are running a 64-bit version of Windows 7, select the 64-bit binary download.
Double-click the downloaded .exe file and extract the MAME files to any location on your hard drive.
Place any game files you have in the "roms" folder in your "Mame" directory.
Open the "Start" menu and select "All Programs," followed by "Accessories." Click "Command Prompt" to open the command prompt.
Type the following phrase into the command prompt and press "Enter":
cd directory\mame
Where directory is the name of the directory your "Mame" folder is in and mame is the actual folder.
Type the following phrase followed by "Enter" to begin Mame:
Mame <game>
Where <game> is the name of the game you wish to run. You must specify a game for MAME to start; it will not start on its own. Depending on the version of MAME you have downloaded, the .exe file may be different. For example, on the 64-bit version of MAME the .exe file is called Mame64 instead of just Mame; you would need to write Mame64 <game> to run MAME.
Press the "Tab" key on your keyboard while in-game to bring up the options menu. Here, you can customize your controls, video settings and other options.
Press the "Esc" key on your keyboard to exit MAME and return to the command prompt.