MameUI is downloaded as a self extracting archive. Once you've downloaded it, double click the MameUI file. You should see this...
In the box that appears use the directory "C:\" and then press the "Extract" button. This will create the MameUI folder. The backslash "\" is important as if it's not there it'll extract on to your desktop. The folder it creates is called MameUI32 (or 64) so if you want to share your Mame folder (if you have one!) you'll need to copy the files into it. Alternatively you can configure Mame32 to use different folders than it defaults to but you'll find out how to do that later.
You can quite happily have MAME and MameUI running in the same folder as long as the versions match. If you have different versions they may expect different roms to be available for games.
What you should see in the MameUI folder!
Here is a picture of the folders that are created if you extract MameUI. 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.|
|background||Picture used for the backdrops on the Mame32 GUI.|
|cabinets||Pictures of arcade machine cabinets.|
|cfg||Configuration files for games allow you to add setting for individual game or drivers.|
|cpanel||A folder for control panel pictures.|
|ctrlr||This is a folder that you can add controller configuration files to.|
|diff||This is where any data is saved when using hard disk based games.|
|docs||Where the MAME readme files are stored.|
|flyers||Images of advertising flyers for arcade games.|
|folders||In here you can add files that make custom lists of games in the folder list.|
|hash||This is where XML based software lists are stored.|
|hlsl||This is where you put HLSL effects and game specific config files are stored.|
|inp||Where recorded game sessions are stored using the -record option.|
|marquees||Pictures of the marquees at top of arcade machines.|
|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.|
|titles||Pictures of title screens in games.|
Details about the additional files can be found on the Additional Files page here.