First to Rylan76: gxmame is a front-end for xmame that looks very much like the MAME32 front-end for MS Windows.
Ok, the romfiles can be set up in 2 ways (well, 3 actually, but I highly dislike the 3rd option, so I won't even go into it
<roms directory>/<rom zipfile>
<roms directory>/<rom name directory>/<rom files>
The puckman game roms for instance could be in roms/puckman.zip, or in roms/puckman/.
I prefer the first way, because it uses less space.
After you've set up the correct structure, you can add the roms directory to gxmame, and let gxmame do an automatic check of all the files (this may take a while) or go to the game directly, and have it audited to see if it works. If you have any problems getting this to work, just let me know, and I'll see if I can guide you through it. I haven't used gxmame in a while (I use my own front-end, better suited for an arcade setup (no mouse)), but I'm sure I can remember how to make things work.