In case you don't know: dir = directory = folder.
There are several versions of MAME (Multiple Arcade Machine Emulator), but none run recent games, only pretty old ones.
ROMs for other emulators normally go straight inside the emulators dir (which itself gets copied to X:\PSP\GAME or X:\PSP\GAME150 - X being the drive letter of the Memory stick when connected to your PC), or you can make a folder called ROMS inside the emulators folder and put them there.
Almost all emulators allow you to browse to anywhere on the memory stick to find the ROMs. It's just quicker and neater to put them inside the same directory as the emulator, or a directory inside it (sub-directory) which you can name ROMs or anything you want.
Most emulators will save the last-used directory so it will go straight there next time you use it. Some may always go back to looking inside their own folder, so putting the ROMs in there or a sub-directory would be quickest to browse to.
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