What JLR2000 said.
Except, some small updates.
First, some lingo:
"Dual Mice": like multiple mice, except only two mice
"Multiple Mice
0": two or more mice physically connected to the computer
"Multiple Mice
0.5": two or more mice connected to the computer, all controlling the same pointer/input
"Multiple Mice
1": two or more mice connected to the computer, all controlling their seperate pointer/input
I hope that clears things up

You'll see all three "multiple mice" terms (minus which type noted here with the numbers) used depending on the context and location.

Windows does multiple mice
0.5 natively: you can have as many mice devices connected at the same time, and they all controll the one windows pointer. They also use the same sensitivity and other settings.

(Unless the driver is specially designed, like the touchpad on a few laptops.) IMO, all mice should be able to have it's own mouse settings in windows, but that's besides the point.
Current official mame now does multiple mice
1: each mouse device is considered a seperate input, as long as they are connected seperately. This means two things. You might have to set up your mame's inputs as the default is mouse #1, while you might want to use mouse #3. And two mice connected through one splitter to the ps/2 port are connected as
one device, so mame will see the two as one device. (USB hubs or composite devices like optipac are seen as seperate.)
As for splitters and the PS/2 port, sometimes they don't work, especially the scroll & five+ button mice. Using USB + ps/2, or all USB is a better bet.