MAME 0.239 is a specific version. You might want to install the latest version for better compatibility and features, but if you're looking for 0.239 specifically, you'll need to find an appropriate build.
Launch mame64.exe (or MAMEUI). If you are using the command-line version (standard MAME), you need a frontend or you must run commands manually. For ease, use or MAME Plus for a graphical interface.