I've narrowed the problem down to a key being pressed while mame is loading.
I believe its a windows thing, same happens opening up any application in wndows. if ctrl, alt or shift are pressed or held when starting word, IE, or MAME, that app launches in the back.
As hard as I try to start it, sometimes a player will just pressed buttons after selecting their game, then the game isn't visable, or the coin/start commands goto the background, app not functioning, until I Alt-Tab with a keyboard! not fun.