If you are using a precompiled version of MAME, there's a good chance whoever built it has compressed it with a tool like UPX.
http://upx.sourceforge.net/The end result is a much smaller MAME executable (I think the uncompressed mame.exe is around 20MB now, and an upx'ed version can sit under 5MB easily). The downside is that the entire file needs to be read into memory and decompressed before the driver for the game you've selected can be found and executed. Compare this to a version of MAME that hasn't been UPX'ed, and only needs to read in the main program and the particular driver you need for your game, which will shave those few seconds off the load time.
Solution? Either find a copy of MAME that hasn't been UPX'ed, or build one yourself via the instructions on mame.net.
http://www.mame.net/compilewin.html