I agree.
Seeing as you're using an ArcadeVGA, [and, as you already have indicated, DOS support for USB is patchy or nonexistent] booting into a frontend via windows (and thus, it seems almost universally agreed, using MameWAH) would be the most straightforward.
You can hide the windows startup screens to make bootup seem less windowsy.
Just out of interest, why Rocknes in particular? IIRC there are a bunch of other emulators that have been updated more recently . . . why not go for znes, so you can run snes games too . . .?