Several front-ends can be configured to automatically shut down Windows for you when you exit them. For example, EmuWizard and Raging Dragon can do this, and I'm sure there are others. I do a shift+P1 start on mine (I use an IPAC) as an ESC to exit the front-end and shut down nicely.
Some people don't do it this way, and simply power off the cab. They then have their BIOS configured to re-power up automatically when power is turned back on. No need to actually hit the power button.
As far as starting, you can simply put a shortcut to the front-end .exe into your startup folder.
The front-ends I mentioned above (EmuWizard and Raging Dragon) also support multiple emulators. I currently am using Windows Mame (NOT Mame32) and the Daphne emulator for laserdisc games.
Note: You didn't mention what version of Mame you are using...keep in mind there are 2 windows versions, a Windows Mame (mame.exe) and Mame32. Mame32 has it's own GUI for ease of use, but is not intended to be used with other front-ends. Windows Mame is command-line based and is easy to set up with a seperate front-end.