(I don't know nothing about pc Windows or MAME)
I bought a MAME arcade cabinet with all installed. It has MAME running on Mala running on a pc.
I tried to find the option to put scan lines but it seems it isn't available. Can someone help me out on how to do it?
I think the arcade games don't look so good on the lcd.
I have one of these, works a treat!
http://arcadeforge.net/SLG3000/Scanline-Generator-SLG3000::12.html
Is there anyway I can do this with software? I know nothing about VGA or PCs or mounting something like this 
Which version of MAME are you using? In general you need to edit the MAME.INI file and enable HLSL (or which ever method of post processing you desire).
http://docs.mamedev.org/advanced/hlsl.html
Also, you might try look/posting here:
http://www.mameworld.info/ubbthreads/ubbthreads.php?Cat=
or
http://forum.arcadecontrols.com/
I was trying not to have to go to another forum.
I asked here because I thought there might be a easier way to do this without having to know about code. I guess what I want is too hard so I will keep playing without scan lines 
You don't have to know how to code. You just need to modify the config file (INI file). I can't give you an answer because I don't know what version are you using?
Check the first link I posted:
http://docs.mamedev.org/advanced/hlsl.html
It tells you what you need to change/set assuming you are using the latest version:
video d3d
filter 0
hlsl_enable 1
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Renton, WA