Move the .zip files from your Downloads folder to Android/data/com.seleuco.mame4droid/files/roms/ .
When you first run MAME4droid on your Android device, it creates a default directory structure. mame4droid 0139u1 roms archiveorg install
Do not download a ROM set for MAME 0.200 or MAME 0.250. Those ROMs are structured differently. Using them with MAME4droid 0.139u1 will almost always fail. Move the