http://advancemame.sourceforge.net/doc-advcd.html

download the distro, find the games you want, burn yourself a bootable cd.
pop it into your pc, it boots the emulator..
clean and simple.

you can get pretty much any game you want with a bit of googling...
shinobi
blacktiger
street fighter 2
mortal kombat
pac man
1942
the list goes on...