I never compiled anything in my life.
After searching google, and this forum, I was able to compile my own version of MAME32, with lightgun tweaks, no startup info, hi-score support, better compatibilty with my p4, and prob. a couple other ones I can't think of at this moment.
I didn't use headkaze's tool, but If i have to make another one I would check those out first as they do look pretty easy.
If you have the time and patience, it shuoldn't be to difficult.