I know with MALA front end you can start with one game, Im sure there are other front ends that have this option
Suppose you could write a batch file to execute at windows startup to run the commandline version of MAME
BYOAC has a great thread on hiding XP boot/welcome/logon screens..
There is a program called instantsheller that can keep XP from loading explorer.exe and go right into a front end, or maybe a batch file..
I looked into this for a Tempest MAME project... but ended up getting a REAL TEMPEST!! (my grail, if you will)