you SHOULD set up the FE to exit to Explorer (the normal shell for XP) and your right back to your desktop, that way you can do maintenance and make changes and such too, plus whatever else you normally do on your computer
It's not hard, but I would only suggest it if you want a machine mostly dedicated MAME or games in general
There are a couple of apps in the software forum that do all that for you automatically you just check a couple of boxes
Instantsheller
Quicksheller (I like this one better, just an opinion though)