the easy way :
- go to http://blog.sheasilverman.com/pimame-raspberry-pi-os-download/
- pick one version, download the file
- it's a disk image file
- plug the sd card in your desktop computer. if you computer «mounts» it on his own, you most probably have to unmount before you continue, unless the tool you will use next does it for you
- using an apropriate tool to manage disk images, write the downloaded file to the sd card
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Note : this will overwrite any data on the sd card (previous content mostly unrecoverable, period.)
*****
On unix desktop (linux, osx and so on) you may use «dd» command, there are free tools for windows but no names come to my mind.
- unplug the sd card from you desktop, plug it into the pi
- plug the little guy to power it up, it boots :-)

not much work left, things like expanding the filesystem and overclocking the pi ($sudo raspi-config), then take a look at this forum FAQ, load your first roms and give it a try

Is it an SPI TFT screen? (Hooked up to the GPIO pins?) If so, only advancemame will run through that. You will also need to run the image that already has tftmodules installed.

@mckinkymcormic 10:13PM
no clue. give us your screen resolution so that someone may answer.

i'd just give the last file a shot, if it works then it works ^^