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/sdcard/MAME4droid/roms

The above are folders

roms is inside the MAME4droid folder and the MAME4droid folder is inside the sdcard folder, that is what we call a path

Those normally come with documentation that tell you where the roms should be stored especially MAME if not though it should create folders for you so for MAME look for a Roms or rom folder and that...