You need the ROMs as well. Not sure what version this uses, but AFAIK the previous versions used an old ROM file, like from MAME 37 or so. Once you've got that you can slap it into a directory (presumably a folder called 'roms' underneath the main folder), and from there you will have to burn the disc using one of the programs popular for this purpose (Nero, CDRWIN, cdrecord). I'm afraid all that is a bit beyond the scope of this post, so check dcemulation.com for more information. You don't need anything else to run it, the included files contain a modified version of MAME.