These options let you view/change the keyboard or controller inputs for the running system. The "Input (general)" option will change the standard keyboard and controller input for every system in Mame. The "Input (this Machine)" will only change the inputs for the running system. Here's an example of Space Invaders inputs...

Space Invaders Default Keys

If you want to change any of the inputs then all you need to do is double-click the control you want to change and press the key or do the control movement that you would like to remap it to.

The changed inputs are saved into .cfg files. If you have selected "Input (this Machine)" then it will be saved under the system name. If you have selected "Input (general)" then the changes will be added to the default.cfg file. One word of warning about changing the user interface keys... REMEMBER WHAT YOU CHANGE BECAUSE WHEN YOU CLOSE MAME, THE SETTINGS ARE SAVED! Actually, if you mess it up you can delete the system's .cfg file or for all Mame, the default.cfg file. All config files are stored in the C:\Mame\cfg folder. If you delete them, any key changes will revert back to default.