for amsn just invoke 'amsn' from a terminal window. if you downloaded a tar.gz file for amsn you might decompress it and then navigate to the directory where you descompressed it like
cd home/myhomedirectory/msn
and then type ./amsn
I haven't used xmame, but i guess is pretty much the same (type Xmame from command line)
Hope this helps
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