You can absolutely make a bootable CD using Nero. The trick is to get a bootable floppy that does the basic boot stuff (loads drivers, memory management, frontend, ect.) Obviously, most frontends wouldn't fit on a floppy and MAME most cirtanly won't, so you'll have to point the autoexec.bat at the hardrive to test the bootfloppy. If your software is all on the C: drive , you should just have to get it working from floppy and you'll be golden, as the CD drive should become C: when you're booting without a hard drive installed.
Once you have the floppy created and tested, start Nero and select New > CD (bootable). Nero should ask for the disk you want to use to setup the bootfiles on the CD. INsert your boot floppy and it will read the required data. You then just have to add the mame folder and the folder for your fronend and you should be set to burn the CD.
You might have to 'tweek' your settings a little and may use a few disks getting eveything to work right, but it should work. The bootable CD setup may be slightly different than I described, I'm going from memory. Other CD burning software should have compatable optiions, but I'd advise using Nero if its at all possible. Its never let me down and is fairly easy and intuitive to use.