If you downloaded RECENTLY from mame.dk, like within the past year, you didn't get a ROM. They were forced to remove all their rom files from the site due to a request/demand by some association.
Unless I'm on crack. okay. ignore my first paragraph.
read this: Download the zip and do not extract it, just like thecow said. Just place the entire zip file into the roms folder. example being C:\MAME\ROMS\ if you have it set up that way.
That being said, you also should notice that the game uses the "neogeo" rom as a helper. This would make more sense if you know that Metal Slug was playable only on the NeoGeo game cabinet. Practically anything by SNK uses the neogeo rom. Scroll down to where it says "Rom Information" and click on the "neogeo" link, where to the left it says, "Uses roms from". Put the neogeo.zip into the same folder as the game rom. C:\mame\roms\ or whatever.
Now, if you have the latest version of MAME (its 0.71 i think), before you try running the game, use the createconfig command to create a configuration file. If you are useing the dos prompt version, it is "mame -createconfig".
To run the game, at the dos prompt, it is just "mame (gameromzip name)" example for metal slug: mame mslug2
Lastly,
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