MAME help

[Youngjedi]

Mame does not support Rar or 7-zip file compression. You will need to extract the 7-zip file into your mame. This will produce a zip file.

If you're nervous extracting it into your roms folder, extract it elsewhere, and tell mame where you put the file using the directories structure for the roms. Try the game and see how it works.

Since it is self extracting, it may have already done this and the rom exists in your ROM folder.

Hope that helps