Question #1:
What are the specs of your machine?
If it's halfway modern then dos actually HURTS performance over windows. In this day and age you always want to put windows in a cab if the machine can handle it.
Question #2:
Who threw you that line? ;-)
On a tv, at least... advance mame gives you little benefit over regular mame. Advance mame is for arcade monitors, not tvs.
The error message is a generic message that advmame gives when something is configured wrong. Advance mame is a powerful tool, but you shouldn't use it unless you have to (due to the compliacted setup) and I think in your case you don't have to.