Yes you need a rom path in the AM set up...however if you are taking about mame you have to set mame up first. That is in the mame.ini you need to tell mame where the roms are. The reason it works when you put the roms in the "default" directory is because mame is looking there by default:
#
# CORE CONFIGURATION OPTIONS
#
readconfig 1
writeconfig 0
#
# CORE SEARCH PATH OPTIONS
#
rompath $HOME/.mame/roms;/usr/local/share/games/mame/roms;/usr/share/games/mame/roms
<-this line herehashpath /usr/share/games/mess/hash
samplepath $HOME/.mame/samples;/usr/local/share/games/mame/samples;/usr/share/games/mame/samples
artpath $HOME/mame/artwork;/usr/local/share/games/mame/artwork;/usr/share/games/mame/artwork
---------------------- cut ------------------------------------
make it reflect your path then save it. (if you don't have a mame.ini you can create one by typing mame -cc at a command prompt)
from there you'll need to change your rom path in AM of course.
you can read this as well if you need more info...
http://forum.attractmode.org/index.php?topic=320.msg2280#msg2280have any other trouble let us know