If you haven't worked with XPe or W7e, its a VERY steep learning curve. Given the costs of storage, and the speed of modern systems, there's really no good reason to use it.
Super briefly, you end up starting at zero and turning on each little fine-grained bit you need. By default you don't even get the Win32 subsystem. I've done it a few times on some commercial systems and I can tell you -- we had the support of MS service engineers who specialized in embedded Windows, and we new every last little thing our software needed and it was still a huge effort. Even with meticulous planning, there was months of "build a new deployment image, test, find something that isn't working, diagnose what is missing, add it and start over".
IMO, you're better off just shelling a Windows system or going Linux if you're 100% MAME. (And every single program you add beyond that makes a Windows Embedded image that much more complicated because it'll have its own requirements!)
Its been a few years, but I also seem to recall you couldn't get all the tooling you needed to build Embedded-based system with a normal MSDN account, so you may have trouble even getting the docs and software you need to do it.