OSX
Windows
Ubuntu
MEWUI stands for MAME Extended Windows User Interface.
MEWUI is a frontend for MAME, which unlike the other uses its internal graphics interface.
The benefit is that it is cross-platform, can be compiled in any OS supported by MAME itself, always keeping the same look.
If you're on a *nix system, it could be as easy as typing
make
For Windows users, MAME devs provide a ready-made build environment based on MinGW-w64. Visual Studio builds are also possible.