Once MAME is running, you can either type "fixitfelixjr" in the MAME command prompt (if you're using the command-line version) or navigate to the game list in the graphical version, find "Fix It Felix Jr.," and double-click it.
The game serves as a love letter to the medium. The narrative of the "Hero" (Felix) vs the "Villain" (Ralph) is subverted in the movie, but the ROM itself plays the trope completely straight, grounding the film's universe in reality. fix it felix jr mame rom