*sigh*
Go to my site... download mamehooker. Use the marquee example I've included in the tutorials. It's far less painless than the mame artwork method.
You can also directly call mamehooker commands via the command line, so if your front-end allows you to launch an exe prior to loading the game it'll work for that. There are other methods mamehooker supports as well.
Basically get to the site and start reading.