First, it is important to make a distinction between the two types of files needed to run MESS systems. BIOSes are files that contain code that exist in ROM on the system board, and the term "software" encompasses files representing cartridges and disk images not on the system themselves. We avoid usage of the term ROM because other emulators use that term for images that would fall in either of the above category.
It is important to remember that both BIOSes and Software Images are subject to copyright law. Hence, it is illegal to have BIOSes for systems that you do not have; you need to obtain these by dumping the ROMs from the system boards of the systems you wish to emulate. On some systems, it isn't that hard to write the relevant ROM to a medium like a cassette and transfer it to a PC.
It is also worth noting that MESS expects BIOSes to be "pure"; in other words a straight dump from the system. Other emulators may use a slightly different format of may have their BIOSes prefixed with bytes. Needless to say, such BIOSes would not work in MESS.
Software Images are a different story, while many software images are copyrighted, many are not and you can obtain them
BIOSes are placed in subdirectories off of the MESS BIOS directory with names matching that of the system. For example, the CoCo 3 has the following BIOS files:
bios\coco3\coco3.rom
bios\coco3\disk11.rom
Alternatively, these BIOS files can be placed in a ZIP file. In the above case, there would be a coco3.zip file in the bios directory. This ZIP file would have coco3.rom and disk11.rom in its root.
Software Images are typically placed in similar subdirectories (e.g. software/coco3/MyCoolCocoGame.dsk). This is the default place to put software images; the GUI will first look for software images in this directory, and command line relative paths will be based off of this directory (e.g. mess coco3 -flop MyCoolCocoGame.dsk). However, placing software images here is not mandatory and one can tell the GUI to look for Software Images elsewhere or can specify an absolute path at the command line.
On a last note, one can run command line MESS with the option -createdir to create all requisite software directories.