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Explaining the command-line version to a first-time MAME user would take hours, so I'd recommend you get MAME32 instead. Same emulator, fancy Windows GUI.
Other than that, KOF2K2 isn't supported by *official* builds of MAME either. Which isn't to say that there aren't hacked versions around that will run it, same goes for Kawaks, but you're on your own for finding those.
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