Mame should go on your internal HDD under hdd:\Emus\mame\ (create the dir Emus on your hard drive and place mame folder there)
Roms will go under that folder in a folder called roms. (hdd:\Emus\mame\roms)
Now under the mame folder is a media folder and inside that is a options.ini file. (hdd:\Emus\mame\media\options.ini) You need to edit that file in a text editor to change the paths listed to reflect the Game folder. What I mean is the default will be something like roms=hdd:\Emus\mame\roms but what it should be is roms=Game:\roms
If you need more clarification google, "How to install make on jtag" and like the fourth result is an excellent tutorial with video.