Also have a look at this thread:
http://www.xlobby.com/forum/viewtopic.p ... light=mame
More specific, look at 3rdman's entry:
"OK, I've figured it out. Thanks for our help tonihappy, but I really don't want to go the route of unzipping and renaming all my roms. So after some trial and error this is what I did...
The first this to do is to create a database of the roms. Using the "Roms" template I would import the roms and coverart into a database called "snes" (Different emus required different configurations so, for now, lets stick with SNES) Once that was complete, I created a new screen with the Skin Editor called "SNES." In that screen I created a new category called "snes roms" and then pointed to the "snes" database to populate it. Enable thumbnails and you're good to go.
The next step is to go back to the setup screen and goto the File Types tab. I created a new file type that pointed to the emu (In my case it was zsnesw.exe) with ZIP as an extension. I left the offline, start, and end events blank. The most important thing here is to fill out the "Category" and in this case it was "snes roms"...and thats it!
Go ahead and test it...Go to the snes screen you've created and click on one of the thumbnails...it should load the rom properly and if you've got the emu properly configured it should load fullscreen and be seemless.
There were some minor issues I came across configuring Project64 and mame. Here's what I did to get them working. I creating a screen and category exactly as I did with the snes example above. File types was set also the same EXCEPT that both required that I fill in the command line. For Project64, I had to include %parameter% in the command line, after that it loaded the rom and ran perfectly. Mame loaded and ran fine without command line arguements but looked wrong and ran without joystick support. So for Mame, I included "-aspect_ratio 16:9 -resolution 856x480x32 -joy". Its pretty selfexplanatory so I won't bother explaing it.
The only thing left for me to do is create a Games screen and populate it with buttons that point to each of these screens.
Now although I've got most of this nulled out, I still need help on a couple of matters. The only emulator that I'm not satisfied with is Gens. It loads the roms and runs, but it won't load in fullscreen. Can anybody help? Secondly, Is there any way while importing a database to EXCLUDE roms that don't have matching coverart?"
This may also help you.