Mame emulates arcade machines.
Each arcade machine had certain roms in it for a particular game.
Often the manufacturers would reuse some of the roms from one game, in another one.
This is why you have similiar zip files with different contents.
To play the games you normally need ALL of the ROMS in the zips plus a few special ROMS common to that manufacturer.
If you wish to use Mamex you must combine all the related roms into one zip or Mamex will not be able to run the game. This is called "merging".
This is difficult to do by hand, so people have written software that does all of this for you automatically. It also tests, verifys and preparess the zips for you.
Do a search on google for ROMCENTER and CLRMAME
READ the directions for ROMCENTER and you'll learn a lot.
Then download it and mame for the PC. Get everything working on the PC first before you attempt it on the Xbox.