Ok with Mame first you do not have to unzip the files. They should remain zipped.
Second, you are downloading games from a update set. That means most of the files needed for each game are not present. If you download something like mameui
LINK HERE
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http://www.theoldcomputer.com/emulators/index.php?folder=MAME/WIN/MAMEUI/MAMEUI-v0.153
and then run a audit on your mame rom dir. It will tell you what is missing. You could also use a program called "clrmamepro" to check all your roms.
LINK HERE
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http://mamedev.emulab.it/clrmamepro/
NOTE: If you do please read a good tutorial because you can damage your files if you check the wrong options. I hope one of these two hints help. If not just post back and will go thru some more steps.
P.S. If you are trying to run newer arcade games. Some may require a CHD file. This is a compressed image of the hard drive from that arcade game. These are large files usually and most of the time require a beefy pc to even start up let alone play. My I7 with 2 680 nvidia sli graphics cards and 32 gig of memory struggle with a few. But again some games require these additional files.