METAL SLUG

well i got MAME and the roms so that i could play metal slug on my computer, cept i cnat figure out how to run mame. i try opening it in a command window and my ocmp keeps saying it cant find it and whenever I click mame.ini it just tells me to open it in a command window... the internet is useless in helping me becuase i cnat find a guide or forum to help me out!?!??!?!?!?! all i want to do is play metal slug!!