The vast majority of the commands in that link you will never need. all you will need to do is set your paths, and if you are putting roms and such inside your mame folder you may not even need to do that as mame looks inside its own folder by default, so it will by default look in the Roms folder for the roms. you can of course put your roms anywhere on your system, and that is when you would have to tell mame where they are.
In that image I posted you will see the second option is "configure directories" you just go in there, pick something from the list, lets say roms, you then just navigate to where your roms are then once in the rom folder hit tab on the keyboard to set that as the directory.
As for your original question as to the software lists, Extras, and Multimedia, I have never used any of those so I'm not 100% sure where they go, but as I say above you should be able to put them anywhere as long as you tell mame where to look for them.
Hope that helps in some way, any further questions fire away.