Unzip the download and delete everything except the mame.exe. Create a roms directory and place the argus ROM zip inside the roms directory.
So the only thing that should be in the unzipped mame folder is the mame.exe and the roms directory with argus inside of it. That's all. No configuration .ini files or anything. Just those two files... mame.exe and the argus ROM zip. If you do exactly what I described... you will see that argus works fine without being greyed out. You'll still see a Warning Screen after loading the game, but you see that with most games.