It's a little bit of a hurdle, compared to other gui mame's, but not a lot once you get it set up.
For the uninitiated, hopefully this is helpful.
1) Download a newer wolfmame version (I'm using .174)
2) Extract or whatever, place the wolfmame folder on the C: drive (easier to navigate from command line if you don't have to go deep into folders). If the name of the folder created is something different than wolfmame, then rename it to wolfmame (right click on the folder, click on rename, then type wolfmame)
3) In windows explorer, go to c: drive wolfmame folder, run wolfmame once (double click on executable), then exit out
4) In windows explorer, go to c: drive wolfmame folder, open .ini file (if it is not associated with a windows program, you can open it with notepad)
5) Make sure the roms directory is set to "roms" (no parentheses). It will be this by default, but good to double check. Save and close the .ini file.
6) In windows explorer, go to c: drive wolfmame folder, and make sure there is a roms folder present within the wolfmame folder. If there isn't, create a new folder with the name roms.
7) Place the rom files in the roms folder: dkong.zip, and the dkong11x.zip file provided here by our illustrious Sock Master
8 ) Open a command line window (if you don't know how, google it for your version of Windows)
9) Windows' command line starts you at different locations, depending on the version of the OS. In all cases, type "cd.." (no parentheses) and hit enter. Then do it one more time. You will now be in the C: drive, at the command line
10) Type "cd wolfma~1" (no parentheses). You will now be in your wolfmame folder
11) Next (and last), you will type the command to run the game and record an inp. Identify your wolfmame executable, you will need to know this for the command. In my wolfame .174, the executable is mamearcade.exe. So, the command in this case will be: mamearcade dkongx11 -record dkongx11
mamearcade - the executable, if your executable is different then type what your executable is in place of mamearcade
dkongx11 - the name of the rom that you want to run (and you do want to run this one, which was downloaded from the spooky remix thread and linked at the top of the DKF home page)
-record - initiates recording to an inp
dkongx11 - the name that will be given to the recorded inp file, if you want to name it something different then change this to whatever you want to name it
So, let's say your wolfmame executable is named wolfmame.exe, and you want to call your inp file spookyDK, then your command would be: wolfmame dkongx11 -record spookyDK
Lastly, your recorded inp file can be found in your c: drive wolfmame folder, within the inp folder
Hope this helps. Basically, once you get things set up, then to play moving forward, you only need to do setps 8 through 11 after booting your computer. If you have a terrible start of a run, simply press escape to exit out of the game, then press the up arrow once at the command line and hit enter to rerun/rerecord the game. Pressing the up arrow once will produce the last command you typed, which will be your mamearcade dkongx11 -record dkongx11 or whatever you typed, followed by enter to execute the command.