This weekend I switched the front end menu system I've been using on my new Mame cabinet from Meedio Essentials to GameEx (excellent program!). While searching the GameEx site I also came across an article which details a process for removing all the typical stuff that is displayed during a normal Windows XP boot process. Following the article I now have an arcade cabinet that boots directly into GameEx (as a shell replacement).
The link is:
http://www.tomspeirs.com/gameex/Shell.htm