Create a bat file with command line having complete path to mame, mame.exe and rom name (complete path to rom may be necessary, depending on how you have mame setup).
Then place the bat file in windows startup folder.
Example bat file:
c:\arcade\mame\mame c:\arcade\mame\roms\invader
To create a bat file.
Right click on desktop, click new text file
in the new text file enter the command line. c:[path to mame]\mame [path to roms folder]\[rom]
Click save as.
Type invader.bat in file name box.
In file type box, select all files.
To place bat file in startup folder, right click on bat file then copy.
Open Startup folder. Right click in folder and click paste.
reboot and see what happens.
If rom wont run, add "pause" to the end of the bat file command and it will wait for you to press a key to close the command box. This may give you a message why the command cant run.
Example:
c:\arcade\mame\mame c:\arcade\mame\roms\invader
pause