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DownloadAutomate shelling GameEx or another front-end for an arcade cabinet setup.
Get the Windows arcade and emulator front-end installer, requirements and offline files.
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MoreThe original article below was taken from the MAMEworld forums, in case it ever becomes lost.
In addition to the guide, a small application called InstantSheller automates the process. It allows you to one-click shell GameEx or any other front end. It does everything in the guide automatically and features a one-click Undo.
Use at your own risk. If you have problems, post on the forum, but make sure you understand what you are doing.

Use a command-line MAME setup with a front end that supports automated shutdown. The process includes changing the boot screen, disabling startup and shutdown screens, setting a black login background, configuring the shell entry in the registry, and replacing visible logon cursors.
The guide involves registry changes and system shell changes. Back up the machine before making changes, keep recovery access available, and only proceed if you understand how to undo the shell entry by restoring explorer.exe.