MAME now comes as a 7Zip self extracting archive. Just change the path to where you want MAME to extract to.
Most of the guides on easyEmu will assume that you've extracted MAME to C:\Mame\
What you should see in the MAME folder!
Here is a picture of the folders that are created if you extract MAME. Some folders are created as you run MAME and play games. For instance the sta folder wont be created until you save a games state. Check in Windows Explorer if you are unsure whether you have followed above correctly.
Below is a brief explanation of what can be found or put in each folder.
|artwork||Background artwork add the missing graphics used around the screen on arcade games.|
|cfg||Configuration files for games allow you to add setting for individual game or drivers.|
|ctrlr||This is a folder that you can add controller configuration files to.|
|docs||Where the MAME readme files are stored.|
|hash||This is where MAME stores xml based software lists for certain drivers.|
|hlsl||This is where hlsl effects and game specific settings are stored.|
|inp||Where recorded game sessions are stored using the -record option.|
|memcard||Memcards are used by NEO-GEO games to save their data|
|nvram||This is where MAME saves EEPROM and RAM data from games|
|roms||Roms are the file MAME uses to load games. This is where they go.|
|samples||Some games have incomplete sound emulation so samples placed here are used instead|
|snap||This folder is where MAME can save screenshots and video files|
|sta||Save state files are used to save your surrent position in a game,|