If you tried MAME buy just downloading it, you'll only get the emulator. You'd need the actual arcade ROM images that is compatible with MAME to actually use MAME. It's the standard in terms of all forms of emulation....

However, the rule of the thumb is that you're not suppose to have the ROM images unless you actually own the ROM chips or the arcade machine with the ROMs installed into it's driver board.

We are unable to help you acquire ROM images or information on how to do so in these forums since that falls into the realms of piracy. You're best bet is to do some google'ing.