In the world of emulation, a is a collection of game files. Because arcade hardware changes constantly, the ROMs themselves must change to match the emulator's ability to emulate that hardware. A ROM set from a newer version (e.g., 0.250) will often not work on older MAME versions because the data structure has changed.
By default MAME looks for media in a folder called roms in the working directory. MAME Documentation ROMs for Free Download - MAME mame 0.119 roms