Its not too bad in Windows XP.
You need to know the hclock/pclock and vclock of your monitor.... you need to load the svgawin.exe file that comes with advancemame. And then you need to configure the screen using the advcfg utility that comes with advancemame. (Use the advmame.rc option when starting it so it writes to that file.)
Otherwise, the boot CD is another option, although I have never tried it. I use a Geforce 2 MX card in my machine, works fine. I have heard that ATI cards work better, but, my ATI Radeon 9600XT card didnt work at all with Advancemame. So it really depends on the exact model of the card.