To use the Advance Projects in DOS and Windows you have to download one of the binary packages. For Linux, Mac OS X and other platforms you must download the source package and compile it.

Good starting points are the build.txt and install.txt documentation files.

AdvanceMAME, AdvanceMESS and AvanceMENU

AdvanceMAME, AdvanceMESS and AvanceMENU are distributed toghether in the 'advancemame' package.

FileDescription
advancemame-4.0.tar.gz The complete sources for GNU/Linux, Mac OS X, DOS and Windows.
advancemame_4.0-1_armhf.deb Raspbian/Raspberry Pi binary for ARM (hard float).
advancemame-4.0-dos-x86.zip DOS binary for x86.
advancemame-4.0-windows-x86.zip Windows binary for x86.

AdvanceMAME is based on MAME 0.106 and requires a ROM set aligned with that MAME version. Over the years, many new games have been added, so there are some differences compared to MAME 0.106. However, for most games, the same ROMs can be used.

You can download the updated and complete AdvanceMAME/MENU 4.0 ROMs, SAMPLEs, ARTWORKs and SNAPs/CLIPs archive (26GB) with this torrent. This archive does not include CHD files but contains everything else.

You can get the CHDs from the big MAME 0.106 ROMs+CHDs archive (70GB) available at archive.org in this torrent.

AdvanceMESS is also based on MESS 0.106 and it also requires a romset aligned to that MESS version.
The most similar one available is the MESS 0.149 BIOS ROMs archive. You'll likely need to use a rom manager to adjust it for AdvanceMESS.

AdvanceSCAN

FileDescription
advancescan-1.18.tar.gz The sources for GNU/Linux, Mac OS X, DOS and Windows
advancescan-1.18-dos-x86.zip DOS binary for x86
advancescan-1.18-windows-x86.zip Windows binary for x86

AdvanceCOMP

FileDescription
advancecomp-2.6.tar.gz The sources for GNU/Linux, Mac OS X, DOS and Windows
advancecomp-2.6-dos-x86.zip DOS binary for x86
advancecomp-2.6-windows-x86.zip Windows binary for x86
advancecomp-2.6-windows-x64.zip Windows binary for x64

License

The sources of the AdvanceMAME projects are released under the GPL 2 license. The included MAME source used for the emulation are instead released under the MAME 0.106 license.