Donkey Kong is one of a few old MAME ROMs that is known to require a "samples" file. The samples file includes the sounds for Jumpman walking & jumping, Donkey Kong stomping in the beginning, etc.
In the folder structure you can place this a ZIP file which includes these sounds. Do not unzip the file, this screenshot just shows you the path and the contents of the zip file:
If you're curious a list of six MAME2003 ROMs are known to require a "samples" file. There may be more, but these six are Berzerk, Donkey Kong, Space Invaders, Mario Bros., Q*Bert, and Track & Field:
As someone mentioned before, MAME is picky on file names.