Okay, I think I may be getting somewhere.
edit: This still didn't work, but it seemed as if it was going to work. Maybe this will help anyway.
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Create a folder. I named the folder "arcade"
Download the emulator (which you've already done) and extract the zip in the folder.
Place the centiped.zip (unzipped into the rom folder)
Download easymame frontend.
http://www.mameworld.net/easymame/
Put the easymame zip in the "arcade" folder and extract.
Download the binary .exe (second link on this page
http://mamedev.org/release.html )
Put the .exe inside the same "arcade" folder and run the program.
Now, you should get a prompt to extract again into the same folder and to initialize roms.
Double-click on the easymame icon in the "arcade" folder to launch the frontend.
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And, dammit, it's still not working. I even saw roms initializing and everything, but when I return to the frontend, there's
still no games listed in the window.
I can't figure this fucking thing out.
This thing isn't worth messing with unless you're on a Mac. Too much bullshit, sorry.
At least now I understand why it's a big steaming pile with Windows. It's because the developers of MAME for Windows are supergeeks that wanted to be able to trick-out and customize their frontend skins, manipulate gameplay of the roms, and so forth.