So, I..
* Downloaded MAME 0.203
* A BIOS-pack (including Neo Geo BIOS)
* A rom (Ghost Pilots)
* Extracted emu into desktop, and put the roms in C:\MY\ROMS\ (just my alias for my real rompath)
* Lanuched AM, set up MAME 0.203 as new emulator, and configured (exe: C:\PATH\TO\MAME\mame.exe, args: [romfilename], rompath: C:\MY\ROMS\)
* Created romlist
I executed AM -> MAME 0.203 -> Ghost Pilots, and a brief black screen, after a very short while, control was returned back to AM. I went ahead and created mame.ini (mame -createconfig) and changed it's roms property to point to C:\MY\ROMS. Again executed AM -> MAME 0.203 -> Ghost Pilots, screen went black, but this time without returning control back to AM. Waited half a minute, and pushed Esc, control was returned back to AM. Then thought whattahell, try again. This time the game launched, success. I closed AM. Removed the "always on top" setting for the task manager window, and launched AM -> MAME 0.203 -> Ghost Pilots again, screen went and remained black. Many seconds later I pushed Esc and returned back to AM. I tried again, and success. As I was writing THESE WORDS I decided to try again. This time I needed to Esc out of the insisting black screen two times to have success, i.e the third execution of MAME 0.203 -> Ghost Pilots. There seems to be an annoying Windows <-> AM <-> MAME conflict.
FYI, Beside SNES9X, I have also added Fusion (Mega Drive, aka Genesis) emulator, and like SNES9X, I have yet to experience problems with that.
Btw, MAME 0.203 executable has a size of 1/4 GB, while 0.78 is around 5.3 MB. I know, 0.203 emulates far more systems .... systems that I do not need (this PC will run them like shit).