It depends on what you want.
You can use a regular filter to show games where the "Manufacturer" contains "Capcom".Configure-->Displays-->MAME-->Add Filter-->Filter Name=CPS-->Add Rule-->Target=Manufacturer | Comparison=contains | Filter Value=Capcom
This can also be done by manually editing the attract.cfg and adding the following to the MAME Display section.
filter CPS
rule Manufacturer contains Capcom
You could also create a "tag" for CPS and use this to filter. To do this in the GUI you need to make sure you have a "add tag" button configured in Configure-->Controls-->Add/Remove Tags. When in the GUI highlight a CPS game and press your <tag button>-->Create Tag-->Name=CPS. Now each time you highlight a CPS game you can press the <tag button> and add them to your CPS tag list.
This can also be done manually by creating /attract/romlists/MAME/CPS.tag and placing the rom names without extensions into this file.
CPS.tag example
1941
cworld2j
bbros
dino
captcomm
cawing
dynwar
ffight
forgottn
ghouls
knights
msword
megaman
mtwins
mercs
mbombrd
nemo
pnickj
qad
qtono2j
slammast
sf2ce
sf2hf
sf2
strider
kod
punisher
3wonders
unsquad
varth
wof
willow
Once you have your tag file created you need to create a filter for it.
Configure-->Displays-->MAME-->Add Filter-->Filter Name=CPS-->Add Rule-->Target=Tags | Comparison=contains | Filter Value=CPS
This can also be done by manually editing the attract.cfg and adding the following to the MAME Display section.
filter CPS
rule Tags contains CPS
P.S. You might want to look at this post
http://forum.attractmode.org/index.php?topic=1165.msg8455#msg8455, not so much to use a master list but to better understand filters and tags.