Installing BIOS Files
This page will give you a few ideas on how to get the BIOS files used in MESS and where you need to put them.
A Few Ideas
Here are a few sites that I know have BIOS files. Luckily enough BIOS files are small so to get the complete set even on 56Kb shouldn't take too long.
Mess Bios Roms - V.Good site but is on Geocities so suffers from bandwidth limit.
Google Search - May give more ideas if both sites down.
Where to put 'em
Firstly keep your BIOS files zipped! Move or copy them into the C:\MESS\bios folder and when you run mess again it will automatically pick them up.