I`m seriously new to this and not had it happen unless its when i got fed up of seeing dos windows but i chose to hide "dos windows state", gonna number these as i do it
by:
1. right click while mala`s running
2. select "options/configuration"
3. Which should put you on the "mame config" --> "Basics tab " and the second section up from the bottom "dos window state" check the "hidden" option
let me know if it works, just to make me feel chuffed i helped someone if nothing else