Here Is the concept behind what I've done, and hopefully it will make sense to you all.

I have added a Non-MAME subdirectory, within that are 2 directories, marquees and snap.
They are named that way to keep in-line with MAME's subfolder naming.
 
On a per game basis:
In the marquee folder you should place a JPG of your liking around 500x120 for best results. 
In the snap folder you should place a JPG of your liking at 256x256 for best results. 

Both of these JPGs should have the same name. For example, For "House of the Dead" I would name both files HOTD.JPG. 

ultrastyle will work fine without either of these files, but it's intended to make the interface more appealing. If you look in the directories now, you will see the JPGs for notepad and calculator that I have made as examples.

Please see the External EXEs tab in ultraconfig for instructions on setting up the EXEs.

Unless your PC supports rotation, I don't think you will be able to use this if your using your monitor horizontally.