To add a rom collection to the ISO image file, this is the only thing I've found that works under Windows so far.  I've tried various Windows ISO editors like WinISO and such.  They wreck the RockRidge ISO and make it non-bootable.
First, download cdrecord for win32 from here:  
ftp://ftp.berlios.de/pub/cdrecord/alpha/win32/cdrtools-1.11a12-win32-bin.zipThe following is a post copied from the AdvanceMAME users list.
From: desmatic desmatic <desmatic@ho...> 
 Re: AdvanceCD burn info   
2003-01-11 14:02  
 AdvanceCD works great in Windows.  While I couldn't add any roms to the 
 advcd.iso using Nero or Cdrwin, the cdrtools worked perfectly.
 
 Windows howto
 --------------
 
 Unzip cdrtools-1.11a12-win32-bin.zip to c:\cdrtools
 Unzip advancecd-1.0.0-i586.zip to c:\cdrtools
 Make a new folder named advcd2 in your cdrtools folder
 Then make a new folder named advance in your advcd2 folder
 Then copy all of your rom, snap, and sample folders to your advance folder.  
 You should now have the following directory tree
 
 c:\cdrtools
 c:\cdrtools\advcd2\advance\rom
 c:\cdrtools\advcd2\advance\snap
 c:\cdrtools\advcd2\advance\sample
 
 Open up a command prompt (Go to Start\Run enter command and press OK)
 Then enter in the the following commands
 
 c:
 cd \
 cd cdrtools
 cdrecord -scanbus > scanbus.txt
 notepad scanbus.txt
 
 make a note of the x,x,x numbers that correspond to your CDROM device, for 
 example mine were 1,1,0  Once you have the numbers for your device, close 
 notepad and at the command prompt enter the following commands replacing 
 x,x,x with your device numbers in dev=x,x,x
 
 cdrecord -multi dev=x,x,x advcd.iso
 cdrecord -msinfo dev=x,x,x
 mkisofs -M advcd.iso -C 0,19962 -r -J -o advcd2.iso ./advcd2
 cdrecord -multi dev=x,x,x advcd2.iso
 
 
 Below are the commands I used on my machine
 
 cdrecord -multi dev=1,1,0 advcd.iso
 cdrecord -msinfo dev=1,1,0
 mkisofs -M advcd.iso -C 0,19962 -r -J -o advcd2.iso ./advcd2
 cdrecord -multi dev=1,1,0 advcd2.iso
 
 
 If you get an aspi error or something similar, go to http://www.adaptec.com, click 
 on search and enter  aspi   Download and install the latest aspi set 4.71 
 (note, you shouldn't need to install any aspi drivers for windows 98).I tried the above under WinXP and it works great!  I packed a CD full of roms/snaps/samples and AdvanceMenu found everything with no problem.
However I did run into a couple of snafus.
1.)  The minimal linux distro didn't include RAID controller drivers.  I had to disable the onboard RAID controller in my BIOS to get Linux to load.  Since everything is included on the CD, my hard drives weren't necessary anyway...
2.)  It did not like gamepads (to be honest, I didn't even read the readme file, this may be mentioned!  

 ). AdvanceMenu freaked out if I had either a USB Gravis Gamepad Pro or a gameport Gravis Gamepad Pro connected to the PC.
Hardware in my test PC:
 LeadTek Geforce 2 MX (agp)
 SBLive Value soundcard