Welcome to the board!
THis could take a long time to explain.
Roms used to be available on
http://www.mame.dk but they've been taken down now. Your best bet would be somewhere like Emuchina.net or IRC or something along those lines.
As for setting up mame....
If you can set up zsnes then you can set up mame. Just put your roms in the roms folder making sure you have the parent roms and not just a load of clones. Then run an audit from the file menu and choose the game you want to play.
Once a game is loaded press the Tab button to set up your keys or game pad.
http://www.mame.net/That place should tell you all you need to know and provide you with a copy of mame too.