A little more info that I think sheds some light on the problem...
Tonight I was playing with my kids, and one game we played was Q-Bert. The strange thing is I could hear Q-Bert audio that was out of sync with the state of the game, on top of the normal (in sync) Q-Bert audio. Eventually I realized what it was; the avi video in Mala was still playing and I could hear the audio of that avi during gameplay! I never noticed this aspect of the problem before because I used to have the avi audio turned off.
Then, when I exited the game mala didn't have focus. So, for whatever reason when I launched the game, mala did something "abnormal" - forgetting to stop the avi, and neglecting to watch for the mame process to terminate.
I think this MUST have something to do with the problem I've been experiencing. It sure doesn't seem to be a coincidence.
Unfortunately it doesn't give me any ideas for solving or working around the problem.
OK, I know how to reproduce the focus issue I mentioned here. All you have to do is navigate to a game, and before the avi snap has a chance to start, launch the game. You'll hear that the avi snap is still playing while mame is also running the game, and when you exit the game mala does not have focus. I'd love to hear if anyone can reproduce this. I'll try headkaze's registry suggestion to hopefully at least fix the focus issue, but that obviously doesn't help with hearing the avi snap playing while the game is also running.
Reading back thru my other posts, I'm guessing that there is more than one focus issue because this doesn't explain some of what I described, but this seems to be the biggest focus issue for me. And I do think it explains the "launch game on start problem" because that would probably occur before the game that's selected in the list has a chance to start the avi snap.
So what I'm wondering is, what are the chances of getting the developer to fix this? I've posted some bug reports at the mala site before and never heard a word back. I wonder if the developer even works on this anymore.