Here's what I got setup - elliminates need for a floppy drive or a DOS menu:
edit msdos.sys and set bootgui=0
edit autoexec and add "win" as a command on the last line.
Make your own batch file to copy/replace the system.ini with the one specifying your mame shell (copy system.mam system.ini), and make one to copy/replace the system.ini to the one with your exporer shell (copy system.exp system.ini), or what have you. Reboot.
When PC boots, hit F8. Choose "confirm each line" option. His "n" for all. Boom, you're at the dos prompt. Type your shell replace batch command, and you're set. Reboot. When you're ready to switch back, drop into a dos prompt and type your mame shell replace batch command (or make a shortcut) and reboot.
I also use this batch file to copy an "invisible" mouse cursor over top of the windows standard, so the arrow never shows up whilst the PC is booting, and vice versa when I need to use the mouse.
This way, you will never get a menu, and you won't need to hook up a floppy drive.
OD