You should only need to hit start once. When I select a game on my list using the arrows, I hit the start key default keyboard key '1'. The ROM starts as normal (MAME). There is however the default annoying MAME splash screen that tells you to hit the select key, or 'left' and 'right' directional to start, and sometimes this has 1-3 splash screens depending on the ROM.
These splash screens have nothing to do with mala however. So I'm assuming your not talking about those.