To get a full working set simply load up the DAT file that is included in the zip with CLRMAMEPRO here, http://mamedev.emulab.it/clrmamepro/download.htm there is a full guide how to do this and get a full mame4all set here, http://easyemu.mameworld.info/clrmameguide/clrmame-guide.html
As for the snaps, yes i agree, it does seem odd that there is a snaps folder in the zip, but it is not used