Gav

This will read a lot more complicated than what it actually is.
Try it.

I have not done it for years - but from memory .......


You need to grab the Mame program and also possibly a front end to run it all.
Emuloader is a decent Windows based front end that displays all the games ( once Mame and the front end is installed )  http://emuloader.mameworld.info/

Install Mame
Install Emuloader
Copy and paste all those ZIPPED Mame Roms from the discs into your ROMS folder which will be automatically created when you install mame.

Run Emuloader
When you run it the first time it will ask where your mame exe is ( point it to your Mame exe that gets installed when you installed Mame)
It will also ask where your roms are located – point it to them in that ROMS folder ( now full of the Zip files )
Emuloader will then ‘create a game list’ ( takes a while )

Then you will have little icons for all your installed games.
Double click an icon – play the game !

Basic Controls in the games
5 =  Credit
1 = start 1 player game
Arrows control movement
Space bar – shoot/fire

See if that starts you off OK.