I was able to do this with mame 32 ver 56. I used ez cd creator to format my cd as a mini hard drive and installed mame to it , all the roms I wanted , ect. ect.
I then ran mame and did all the options as far as direct.
and controllers. exited mame and ejected the cd. EZ CD creator ask if I wanted to close the cd (make it read only)
yes.
that was version 4.0 ( NOT compatable with XP

)
I have not found a program like this for xp. I have kept 1pc at my house windows ME just so I can still use this program.