Are you sure you read the README included in the MAME pack?
4. INSTALLATION
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\GPMM\mamegp32.fxe  	-> General frontend to select games
\GPMM\MAMEGP32\mclassic.fxe	-> Emulator for about 500 classics: Pacman, Frogger, Donkey Kong, etc...
\GPMM\MAMEGP32\matari.fxe	-> Emulator for Atari games: Tetris, Missile Command, etc...
\GPMM\MAMEGP32\mcapcom.fxe	-> Emulator for Capcom games: Ghosts'n Goblins, Commando, etc...
\GPMM\MAMEGP32\mdataeas.fxe	-> Emulator for Data East games: Breakthru, Shoot Out, Oscar, etc...
\GPMM\MAMEGP32\mirem.fxe	-> Emulator for Irem games: Vigilante, Kung Fu Master, etc...
\GPMM\MAMEGP32\mkonami.fxe	-> Emulator for Konami games: Contra, Yie Ar Kungfu, Track & Field, etc...
\GPMM\MAMEGP32\mnamco.fxe	-> Emulator for Namco games: Motos, Xevious, etc...
\GPMM\MAMEGP32\msega.fxe	-> Emulator for Sega games: Zaxxon, Wonder Boy, Pitfall 2, etc...
\GPMM\MAMEGP32\mtaito.fxe	-> Emulator for Taito games: Bubble Bobble, Arkanoid, Tokio, etc...
\GPMM\MAMEGP32\mtechnos.fxe	-> Emulator for Technos Japan games: Double Dragon, Renegade, etc...
\GPMM\MAMEGP32\mtecmo.fxe  -> Emulator for Tehkan/Tecmo games: Bomb Jack, Rygar, etc...
\GPMM\MAMEGP32\mvector.fxe	-> Emulator for vector games: Asteroids, Tempest, Star Wars, Star Trek, etc...
\GPMM\MAMEGP32\mwilliam.fxe	-> Emulator for Williams games: Blaster, Defender, Joust, Robotron, etc...
\GPMM\MAMEGP32\mothers.fxe	-> Emulator for other games: Pang, Psychic 5, Ninja Kid 2, etc...
\GPMM\MAMEGP32\m68000.fxe	-> Games with M68000 processor: Snow Bros, Karnov, Gauntlet, etc...
\GPMM\MAMEGP32\CFG\  -> Configuration files
\GPMM\MAMEGP32\HI\  -> High Scores
\GPMM\MAMEGP32\JOY\  -> Analog joystick configuration files
\GPMM\MAMEGP32\KEY\  -> Control configuration files (joystick and buttons).
\GPMM\MAMEGP32\ROMS  -> ROM's directory, as ZIP files or in subfolders with unzipped ROMs.
And are you sure you put these roms in the folder I've bolded? Are you even sure they're MAME roms?