You should be able to use an appropriate AGP ATI-based video card, Calamity's modified drivers and GroovyMAME with your setup.
However, be aware that modern versions of MAME are more demanding and a P4 might not be fast enough for some of the games you want to run.
You can easily configure your system to boot to Windows and automatically launch a front-end, though again, HyperSpin might be too much for your CPU.
You'll have to try it out and see.
To set everything up, you're going to have to pick up a cheap keyboard and mouse. You'll probably need to borrow a PC monitor or LCD (or pick one up used at a thrift store or something). I don't think you can set it up without a monitor. You might be able to use an LCD TV that has a VGA input to set things up, but I'm not positive.
You can get Calamity's modified ATI drivers here, along with recent builds of GroovyMAME...
http://mario.groovy.org/GroovyMame/WindowsATIDrivers/Here's what Newegg has in the way of AGP Radeon HD 4000 series cards....
http://www.newegg.com/Product/ProductList.aspx?Submit=ENE&N=100007709%20600007317%20600007850&IsNodeId=1You could also try your luck on Ebay...
http://tinyurl.com/ebay-agp-radeon-4000One question... Do you currently have a J-PAC?...
http://www.ultimarc.com/jpac.htmlThe J-PAC is nice because it protects your arcade monitor from out-of-range signals. During the boot process, before entering windows, a normal video card will put out out-of-range signals until the windows drivers kick in. Depending on your arcade monitor, you may be ok without one, but I never felt comfortable going directly into my monitor from a non-ArcadeVGA card.
I can't give you step-by-step instructions on setting things up because everyone's setup is different, but there's plenty of resources if you search on these forums (and the hyperspin forums, if you go that route). If you have specific questions about specific steps, post in the appropriate board and I'm sure someone will help out.