1) Profiler -> Create, let it point to your MAME binary and let it create a default profiler
2) Settings -> Setup rompaths (and maybe sample paths if you use them)
3) Scanner -> hit scan and see the results in the tree
well...3 can be more of course....if you're sure you got merged sets instead of split merged sets, you may want to change the merge mode first but generally the selected default values should be fine for you. The scan will show the issues with your sets. If you want to fix them, you simply can enable the fix options and scan again. What can be fixed will be fixed then....but of course it can't magically create missing files for you.....which brings us to the next topic 'updating'...
So, the common way to update is to replace the MAME binary and if you then load the profile in cmpro's profiler, it sees that the underlying mame exe has changed and rebuilds the rom naming database. After that you go to the scanner and do a full scan with all check/fix options enabled...this should fix all possible issues but again, you will end with missing files, the ones which were newly added to the new MAME version.
Adding new files can be achieved in 2 ways:
1) Settings -> Define Addpaths and store your newly collected files in there, Scanner->Enable fix missing and rescan.
2) (recommended) Rebuilder -> let the rebuilder destination point to your old collection, rebuilder source points to the files you want to add. That can also be achieved by drag'n drop new files in the scanner tree window. The rebuilder 'adds' anything valid it finds in the source to the destination....no matter what the sourcefiles are named. After a rebuild, rescan.