This is not an attempt to boast but i got it up and running first time with no issues whatsoever - therefore all the info is there.
May i suggest you specifically target mame 0.78 and download a complete rom set for that, put them in the 'arcade' folder and use lr-mame2003 to run it - that way you should be able to get it up and running very quickly, as others have said the lack of info about your setup means it is hard to help you.