Let me first preface this guide with the fact that I had zero experience with raspberry pi before tonight. I'm comfortable in the command line and I've played with linux as an enthusiastic dabbler.
If you follow this guide, you should be able to go from fresh raspberry pi to running roms on piplay. Also, only use roms that you've legally obtained. I used Robot Bowl available for free, for non-commercial use at mamedev.org.
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Install raspbian to your sd card using a different computer than your pi
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plug in the pi your username/password will be pi/raspberry