Need help with running games on MAME.

Okay, so I have multiple emulators on my PC, and I have PS2 as one of them so I know about possibly needing a BIOS for MAME to work...but what I'm confused about is how to run the games. Example is I want to run EspGaluda, but I have no idea where to put the files for the game or how to start it in the right 'mode'(by this I mean machine). I honestly have zero clue how to run the games as I am only used to normal console/handheld emulators which are for one system each...