Where can we got the ROMs?

To use the M.A.M.E. emulator, you can download the software from the official site.

Only the emulator is not enough. You need the ROMs to play the game, because the game saved as ROM file.

Here are some ROM site:
http://www.romnation.net/
http://www.mameromlinks.com/
http://www.rom-world.com/
http://www.arcadeheaven.com/
http://www.starroms.com/

Download the ROM files, and save them into the folder rom under the mame root. Then you can play.