How do you install a MAME game on the emulator?

Just move the whole zip file to the rom directory in the Mame subdirectory. I assume you already have the emulator installed? Make sure that the game you're trying to install is already listed on the MAME emulator or you won't be able to play it. Just calling up the emulator will show you a list of currently supported games (and it's not that many compared to the shear number that are out there).

When you have a game that will play, you simply scroll down the list and choose it. If it's supported it will start up. If you get errors about files not being found, then the version you have is not supported.