i just started with mame too, and i figured out how it works (hurray)
in your folder mame-x on your xbox is a sub folder called "roms" thats where you put your roms.
roms you download are usually in zip format (puckman.zip e.g.)
you just upload the zipfiles to the rom folder in your mame-x directory, and mame-x will see them as games as soon as you fire the app up.
happy gaming!
