Ok, so first you need to download the game, and place it in your Rom folder, located in the Mame folder.
Do not unzip the games... leave them as is.
Then Fire up your mame, and click on "All games" option, which should be located on the left column, to display the list of all games.
Scroll down to find the name of the game you just added.
You can either find the full name, or the short version of it, which should be the name of the zip file.
Right click it, and select "Audit"
After a short scan, mame will tell you if the game has passed the audition or not.
If it has, it's fine and good to go... if not, then either there are files missing from the game, which means it wont play properly or not at all.
Either get another version of the game, or download a different version of mame.
Not all games work with the same versions of mame.
There is a way to audit all your games at once, but the scan takes a lot longer.
To do this, simply go the "File" in the command menu and select "Audit all games"