I understand what you're getting at. You want to play Mame on your secondary monitor, but it isn't made for a 2 monitor setup like Powerpoint is. So since it won't just put the game on your 2nd monitor, you want to clone your primary so that you can see the game on both screens.
I'm not using XP anymore, so I don't remember the exact wording. But if you right-click your desktop and choose Properties, then click the Display Settings tab, you can uncheck the 'Extend the Desktop onto this Monitor' setting. When that setting is unchecked, it should clone. If that alone doesn't do it, you may also have to click the Advanced Settings button and look around in there to see if there is a clone option.