This is getting confusing
You can ftp from your PC to your Xbox, yes ?
Just create a Emulators folder on the Xbox F partition. Then transfer you're Mame emulator folder to this Emulators folder.
In that MAME folder you should have a default.xbe and some other files and folders. in the roms folder, put the roms in there. (all the gamename.zip files)
Which MAME emulator are you using... MAMEoX ?