You would get a better response if you posted on the official GameEx support forums.
But go with Mala or MameWah, I don't see how that solves your booting into a front end problem. But my personal experience with MameWah is that it's not easier to setup than GameEx. So your in for a treat when you switch over.
There is a registry setting you can edit manually to boot into a FE. Here is something I pasted from somewhere a long time ago.
I don't know if this will help or not, I think it might be slightly different to the original strategy mentioned on this thread, but:
Getting a Front-end to run as a shell in XP and start with no user intervention:
You cannot do this if your computer is part of a domain. It must only be part of a workgroup.
1) Create a user that will be the auto-login user. (User should have admin rights at this time)
2) Configure XP to automate the logon process if your computer is not part of a domain.
> Click Start, click Run, and type control userpasswords2.
> Clear the Users must enter a username and password to use this computer check box.
> Click Apply.
> Enter the user name and password you wish to automatically log on with, and then click OK.
> Click OK again and you're all done.
3) Setup your Front End the way you want it. Open regedit and browse to "HKEY_CURRENT_USER\Software\Microsoft\Windows NT\CurrentVersion\Winlogon" Look for a string entry called 'Shell'. If it is not there, create a string entry and name it 'Shell'. Set the value of this entry to the name and location of your Front-end. For Mamewah, the shell entry may be "C:\Mamewah\Mamewah.exe" or wherever your Mamewah executable is located. For explorer, the entry is simply "explorer.exe". Log out as the auto-login user and log back in as another user with administrative rights. Change the auto-login user to a standard user. (This way, people don't have more access than you want them to have.)
B) Disabling the Welcome screen and startup / shutdown messages Mamewah may become hidden behind the welcome screen, so the welcome screen should be disabled.
1) Change from the default windows XP welcome screen to the older style by going to Control Panels>User Accounts>Change the way users logon or off. Deselect the "Use Welcome Screen" checkbox.
To get disable the startup and shutdown messages via regedit:
2) HKEY_LOCAL_MACHINE>Software>Microsoft>Windows>CurrentVersion>Policies>System. If there's a DisableStatusMessages dword there, change it to 1, otherwise add it and change it to 1.
C) Change the boot screen
1) Install "LogonUI Boot Randomizer" and set it up. It is possible that it may require a comctl32.ocx file.
This can be found on the cd. Go to the boot screens menu and go to Boot>Browse for a boot file...
Then locate mameboot.exe and open it. This is all that is required.
D) Change the login background colour
1) Open regedit and navigate to HKEY_USERS>.DEFAULT>Control Panel>Colours>Background. It is a 3 digit RGB
Colour. Change it to 0 0 0
This has worked fine for me and I havent had any of the issues that other people have mentioned.