I definitely find running in pure DOS faster than running in a DOS box from within Windows. Another way to increase speed is by using a different frame skip (F8 or F9 keys while playing a game).(posted 9187 days ago)The file you are refering to that you are missing might be cwsdpmi, or something similar to that. It's a file you need while running mame in pure DOS and can be picked up at mame.net in the downloads section.
On another note, setting up sound support in DOS can be a bit of a pain too! But let's hope you don't have to deal with that.