You don't want to use HLSL anymore. You want to use OpenGL with Timothy Lottes's GLSL shader. It looks way better.
Also, PacMAME is done. You just want a standard MAME + HBMAME for the hacks.
If you go on the MAME site and follow the instructions, you can learn how to compile your own build. A simple Google search will give you the information you need to remove the nag screens.