This is from the readme/FAQ:
Q - Can I lockout the start menu
A - Yes by removing the folder D:/RemoveThisFolderLocksStartMenu
Note - Or edit "E:/Tdata/save file/mameox.ini", "LockoutStartMenu=0" to "LockoutStartMenu=1"
Note - This will lock you out, make sure you can gain FTP access or you will require a boot disc
So you'll have to create the folder if it's not there and set the ini value to 0.