I just use Windows Media Player to achieve this (In Windows 98). Simply create a directory with a bunch of batch files which will load your favourite videos.
E.g. in the directory create a batch file called:
Music Video - Michael Jackson - Bad.bat
In this file put:
@echo off
cd "c:\program files\windows media player\"
mplayer2.exe /play /close /fullscreen "c:\music videos\Michael_Jackson_bad.mpg"
/play = automatically start playing once loaded
/close = close media player when finished
/fullscreen = run video in full screen mode
Then all you need to do is setup a config file for Mamewah which has the emulator executable set to "PC" and the ROM Filename extension set to "bat"