I applied SP2.  Don't ask me why.  I just did.  The cabinet works all the same as posted in my original build script.  There are a few extra services I'll have to disable and whether I'll leave the firewall on or not is up for debate.  Anyway, MAMEWah is my shell.  When I drop out of the shell I'm left at a black screen with the mouse just as before.  I press CTRL-ALT-DEL to bring up the window with shutdown, lock, task manager options and I select task manager.  It opens just as before.  The interesting thing is when I choose File->Start New Task it AUTOMATICALLY opens a command prompt rather than letting me type something in a dialog box.
The kicker is that you can't type in the command prompt either.  This has to be a security "feature," but I can't figure out how/where to change it.
dot