it should run and extract to a Folder, call it MAME

In that folder should have another called ROMS

on your DVD, right click on the folder roms, then move cursor ( arrow ) to copy

then in your MAME folder on your C drive ( the one you created when you extracted it to the MAME folder )

right click and paste

all the roms on your dvd will then be moved to your MAME folder

start up MAME ( the icon will be a M in your MAME folder on your C drive )