When I try to extract the pnd file from the zip into my SD card, it's asking me "insert last disk of multi volume set and press ok".....what the hell?!
I'm in the main screen but I can't load up a rom, mine are in zip format I think, should be okay yes? Whenever I click on a rom it just boots me straight out....at least I can open the emu though!
You need to have ROM-sets that match that version of MAME - the most likely reason you're being booted out is that they're either too old or too new for MAME 0.106.
5 is the default insert coin key, and 1 is the default player one start button. Tab (so, Fn + Space on the Pandora's keyboard) will let you get into the menu so you can customise your controls. This is done per-game - the current version should save these settings.