First download MAME32 from a site like RomHustler or RomNation, then get the roms for the MAME32 emulator.
Watch this video, shows how to set it up and what not, a lot of these steps could be skipped because he breaks it way down, but if you are a super fucking newb, just watch the whole thing.
https://www.youtube.com/watch?v=Vgdx_RmPzNk