Ok, I think I've found an even faster way.
If you goto
http://www.dgroms.com you will see that they have 621 pages of all MAME ROMs. You only have to accept the agreement once, not every time you wish to download a ROM. When you click on a game name it takes 4-5 seconds for it to go through to your download manager, or 2 seconds if you immediately press stop once the screen comes up as it is loading a fastcounter (you might need to do this anyway as sometimes fastcounter is overloaded, and can take ages to load).
Using this method, and if you do 100 or so ROMs at a time when you are not using the computer you might be able to complete your collection in a surprisingly short amount of time.
Remember, unlike MAME.dk (and therefore mameworld) DGROMs has a static address for each ROM which means that it can be resumed at any time. MAME.dk rather annoyingly throws up a dynamic link to the actual ROM so that while it might be resumable 5-10 minutes later, 10-20 minutes later it will probably not be.
Another point is that DG has lost many of it's user base since DK came back and it has a 4.6 MB a second transfer rate (used to be 2 until June).
[ 17 August 2001: Message edited by: DamianMoran ]