I suggest you get Mame32 running first, download the "Mame32v.102_Binary", and noone is going to tell you where to get ROMs, so that's something you will have to figure out youreself. Once you download that, extract it to a directory, Eg. C:\Emulation\Mame32. Nothing from the Mame32 archive should go into the GameEx directory. Launch the Mame32.exe file and get a game running. Once you have games launching from Mame32, then run GameExBasicConfig.exe in C:\Program Files\GameEx and setup your paths to point to C:\Emulation\Mame32\*. If you can't get Mame32 running without GameEx first, there is no point in trying to get GameEx running.