For those who are still trying to work out this add-on, all the zip files work as a single zip package. You cannot extract them individually.
You must download all 11 of the zip files completely. I used PeaZip (really good Open source zip application)
Run the first zip file (right click and extract them depending on your ZIP software. This will unpack them all to a suitable location you choose.
When complete run the MAME system pack installer.exe file
Specify the location of your GameEx or GameEx Evolutions application,
Select where your ROMS are located.
You need to have ROMs to begin with, and I recommend you get the 005.zip ROM as the setup looks in the folder for that file. It's a small file and you can get it from EmuParadise.me (Link at time of this post is https://www.emuparadise.me/M.A.M.E._-_Multiple_Arcade_Machine_Emulator_ROMs/005/10878).
Click Go and you are all set.
Once complete you will have a comprehensive pack of MAME media, all the artwork and other good stuff that will compliment the GameEx game selection menu. There are no ROMs in the system packs, they are packed with all the media artwork etc.
Simply Austin on YouTube has provided a really guide good to installing this and the GameEx application. Watch it here
Link: http://www.arcadepunks.com/gameex-front-end-basics-getting-setup/
Excellent work Tom. Many thanks.