Look in the wiki - 'hiding windows'
I took a peek and it mostly goes over getting rid of everything "on boot up". For me seeing Windows on boot up doesn't really bother me, as if I have guests over the game would be running anyway. I would just boot up directly to MALA. However, from THAT point in, I would like the arcade experience to be as real as possible, so no trace of Windows.
I have MALA set to the point that it pretty much hides Windows, but just for that second (or so) just before the game rom kicks in, you do see the hourglass for the mouse pointer.
Sure I can disable the mouse entirely, but the reason why I don't want to do that is because MALA needs the mouse to get into the administration settings.
One thing I did get out of reading that wiki was being able to make icons "invisible" or change them altogether. Since it is only the hourglass I am seeing, then that is the only icon I have to change. Perhaps I can change it to something non recognizable as Windows. a small black square would be cool because they would "blend in" with the dark background. If it is noticed, it would be taken as "part of the boot up" of a game.
Edit:
I managed to find a very small fine cross hair "+" and put that in place of the hourglass. Because it is black, it is now barely noticeable. Every so often I do see it come up (when it isn't on a black background), but really I only know about it and it certainly doesn't scream "WINDOWS OS HERE". So I am good

. But on a dedicated MAME system, I would look into using a totally "invisible" cursor for the hourglass so this way it is isn't seen at all.
Oh! In case anyone else is interested download this:
http://andy.junkdrome.org/devel/tcl/invisible.curPut this in your Windows=>Cursor folder and then go into Control Panel => Mouse. Go down the scroll list for your current cursors and find the one that says "BUSY". That one is the trouble maker. Click "browse" and then look for the new invisible.cur file. Click on it, save the settings and BOOM, your done. No more hourglass in MALA.