Um, well it doesn't have much to do with MAMEWAH...
If you can do it to Windows, then all you need do is place MAMEWAH in Startup or use it as your Windows shell.
There have been LOADS of topics about this on this board, try a search (not being unhelpful, but I can't remember it all)...
Edit: I would only use DOS if you have a really old PC...like <~500MHz.