The Ok prompts are from MAME, not MAMEwah... go into your mame.ini file and make sure the skip_disclaimer and skip_gameinfo flags are set to "1".
I'm not sure if you can get MAMEwah to start a game automatically... seems like this would defeat the purpose. However, if you are having trouble exiting MAMEwah and having it come up at the same point in your gamelist when you restart it, then you need to exit MAMEwah the "slow" way... press "2" then select "Exit MAMEwah", vs just pressing Esc...