At the very least, I'd suspect you'd have to change the mame32 source a little bit. I'd think you'd want to add the ability to restart/shutdown from the program.
As a sidenote, you may want to take a look at Litestep (A windows shell replacement). There's a small learning curve (I was customizing it within an hour), but it is HIGHLY customizable.. You can add only what you want to it, have it boot to MAME32, and still have the ability to shutdown, configure the system, etc, but you can also customize special hotkeys or key/button combinations to access these functions.
(This way also, you can make the interface only contain shortcuts (with custom graphics, bitmaps, whatever) to various windows/dos based emulators.)
--NipsMG