A ROM (Read-Only Memory) set is a collection of data files that contain the game's programming and graphics. In the context of MAME, a ROM set is a collection of files that represent the game's data, which is used by the emulator to run the game. ROM sets are specific to each game and are usually distributed in a zip file format.
MAME 0.78 Plus: The Ultimate Guide to Updating Your Arcade ROMset
When you finally locate the update package, you will not find a single file. Instead, you will find a folder structure or a collection of .7z or .zip files. Here is what a typical update pack looks like: