I was late in editing and posting this part:
If you feel like it, try installing a MAME frontend for windows that should simplify operation of the program.
http://www.zophar.net/frontends/mame.html
I'd go for
http://www.mameworld.net/easymame/
Thing is, after this was first developed for Mac, Windows users thought they'd be all superior and make a geek version that you can put different frontends and doodads on to customize it. And it's a whole load of bullshit.