Hi and welcome.
First of all that is a very old version of MAME, any reason why you are still using it?
Secondly, you only need to type the name of the rom if you are opening mame itself, that's not needed at all if your games are imported into Launchbox as that tells mame what game to load.
Yeah the movies from emumovies are not free. They are available through Launchbox but you need a paid subscription yes. They are available from there website for free but they are the low quality ones and will take you months to download.
It will work in Retroarch, u just need to specify that controller, ppsspp, I'm not sure on off hand, but remember it works with dinput I think, which is what that pad is.