You might have to compile MAME yourself. Unfortunately it's not the most newbie friendly project out there these days, and that doesn't look like it is going to change anytime soon.
I would recommend you also keep an eye on OpenEmu. They've got a Final Burn Alpha core in the works, which offers compatibility with a lot of the major titles MAME supports. It's been rumoured that they might port a MAME core to it as well.