I have to make a .BAT file to run my games in Mamewah.  I have a different BAT file for each game and I set Mamewaah to look for the BAT extension.  Type the following in notepad and save as "game name" with a .bat extension.  It should look something like this:
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c:\
cd\psx\
epsxe.exe -nogui -loadiso c:\psx\roms\twistedmetal2.img
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saved as twisted metal 2.bat
If anyone finds this is incorrect please correct me.  
Feel free to PM me if you have problems with this