If you just want a down and dirty option to start mame, create a text file that contains something like this:
C:\Mame\mame.exe tempest
(Assuming you put Mame on the root of your C drive)
Save it as Mame.bat, and put it in your startup folder of Windows. When the computer starts up, it will run that command and start up Tempest. If you are using Dos, then you would put that command in the Autoexec.bat file. If you need some help with it, let us know what operating system you are running, and where mame is located...
Or you could use AtomicFE - there is an option to start a game by default. However, quite honestly, it really would be overkill to just run one game.