My marquee monitor is setup as the 2nd display in extended desktop.
In order to set it up using mame's built-in artwork there's a few things you need to do. I'll try and make them as clear as possible but ask away if something isn't clear:
1. Download marquees - As mentioned mamelayplus etc is a good place to go. It's important that the marquees are named the same as the roms (they should be)
2. All the marquees should be unzipped, ideally in png format and in 1 folder. If not, not a problem but you might have to do some adjusting of the batch file below
3. Download the 2 attached files and remove the ".txt" from the end of the filenames. You should be left with create.bat and default.lay
4. Copy/move these files into the same directory as your downloaded marquees.
5. Open the default.lay file in your text editor of choice. You will probably need to make some adjustments so replace the text horizontal_resolution and vertical_resolution with the specs of your marquee monitor, i.e.
<bounds left="0" top="0" right="1024" bottom="768" />
(This is scalable so you could put 4/3 or 16/9 and it would still work but I set mine as pixels to make things easier)
6. OK - now you're ready to rock. Save the default.lay file, and run the create.bat file. A DOS window will open and it will start copying a load of files. What it's actually doing is looping through every png image in that directory, creating a folder in the same name as the image, copying that image into the new folder with the name 'marquee.png' and then copying the default layout file into folder as well.
You will now have a load of folders in the name of your marquees. There could be hundreds depending on how many marquees you had in the folder.
7. Copy/move ALL those folders into your mame/artwork folder.
8. Open up your mame.ini file from the mame folder and change the following 2 lines (they're not together so you'll have to find them):
numscreens 2
view1 Marquee
That should be it. Next time you run a game in mame it should display the marquee in the second monitor.
Let me know if this doesn't work as I'm typing a lot of this from memory as my cabinet is inaccessible at the moment but I'm pretty sure that was everything covered.