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Dont worry it's certainly not ignorance, there really isn't any documentation on how to use this yet.

What exactly happens? 

Does the my programs menu item show up on the main screen?

Does bring you to the my programs window if you click on it?

Are there any roms listed on the window?

Does mame start to load?

What is the error message that you are recieving?

Also, you don't need to specify the .jpg in the extensions.