That message means only one thing - MAME can't find the files in the location that it expects them.
Check this: - In mame\gauntleg: you only need one CHD in this folder - gauntleg.chd - in MAME\roms: make sure you have a compressed file named gauntleg.zip (or gauntleg.7z, etc.) in gauntleg.zip (or whatever) make sure there are three files: 322_gauntlet.u37 legend15.bin vegasio.bin
One that setup is completed, the game should boot.
Note that you need a pretty hefty CPU for this game to run at 100%