the entire MAME set is huge, like 30+ GB. The smaller file sizes that I believe you are seeing are updates, and they are not single file that I know of, but the updated single zip files of roms. You would need to download one of the huge MAME packs and then download each update to it til you reach the one you want. Even if there was an option (and I don't believe there is) to somehow download a single MAME collection as a single RAR, you would be subject to bandwidth speeds and potential issues, like dropped connections and possibly having to restart the download. I would suggest:
a. downloading only the games you actually want to play (as many roms can be downloaded that are actually listed as 'unplayable' in MAME)
b. grab some larger packs that contain many roms in one, you could use
http://www.theoldcomputer.com/roms/inde ... Mega-Packs for a pack of ~400 various roms, or try a google search for a site that may have something like genre-specific, or series-specific packs, like a StreetFighter mega pack.
c. if you are really set in getting the 'entire' pack, the only realistic way I would see is a torrent. You will have to come up with that yourself, they are pretty easy to find; and after having that, you could download a smaller sized update pack to keep it current.
edit: also.... while you can safely download roms and emulators from this site, looking for a torrent or megapack from various other sites or from a google search may not be safe. Use caution when downloading in your search for roms.