Yes, you can use a batch file. For example to launch 1941 just type this in notepad: (change the drive and directory as needed. This assumes that mame is in C:\mame and that mame knows whre to find the roms, generally in c:\mame\ROMS)
c:
cd c:\mame
mame 1941
save the file somwhere as "mame_1941.bat" or whatever.
Using windows explorer (right click on "my computer->explore) locate the file you just created, right click on it and choose "send to desktop" and this will create a shortcut to the desktop.
You would have to do this for every ROM you have though

An alternative is to run a front end and have a shortcut to it on your desktop, this way you can scroll through all the games you have in the front end, then exit from the front end to use your computer for other things.
You also could use mame32 which is mame with a built in windows front end. I've never used it and I know some people on this board don't like it.