It's not a game specific thing, you just think it is.....
Probably your problem:
Due to the way directx caches the keyboard keys, they are "saved" when the gui is busy. Let's say you press the select key twice quickly.... Dk launches marvel vs capcom and "freezes" to save memory. Upon exiting mame it "unfreezes" and finds a select key saved in the cache and thus immediately launches the same game again.
So your solution is not to keep pressing a key when the game doesn't launch immediately and not to press keys while mame is exiting and dk is unfreezing itself. Also if you are not using an ipac, the typematic keyrate tends to start repeating a key if it's held down for a while. So don't hold down the select key, just press it.
Unfortunately, there is not much i can do to stop this syndrome as it's just the way keys are handled.
sorry.