OK I figured it out, sort of.
After looking at the debug file, it looked like everything was ok. So I started my own command prompt and tried the same command.
For whatever reason my PC won't execute .lnk files from the command prompt. It returns bad command or filename.
To work around this I made a .bat file for each application I wanted to run. I just threw a couple commands in each batch file to go into the application's directory and run the executable. Then in MAMEWAH I changed the ROM extention from LNK to BAT.
It's working now!
Can others execute .LNK files from the command prompt?
If so, why can't I?