Details are to be found on the MaLa Website on how to a achive an quick and easy set-up.
The follwoing information is posted here to suppliment that.
Quick MAME setup
1A) Why do my games list show much more games than Roms I have in my Roms folder?
2A) How can I skip games in the list like MameWah does by hitting the joystick Left and right?