Never run unknown .exe files from ROM sites. ROMs should only be .zip or .chd files. Use or ROMVault to scan your pack and rebuild it to match a specific MAME version.

However, the emulation community is shifting focus:

This article explores everything you need to know about MAME ROMs pack downloads: what they are, how to use them responsibly, where to find legitimate files, and how to set up your own arcade paradise.