When you have a system running you can press the "Tab" key and Mame will open it's in-game menu. The in-game menu allows you to change settings on the fly and access a lot of additional options. If you are running a system that has control of the keyboard then you will need to press the "Scroll Lock" key to enable the UI keys for Mame before pressing "Tab".
Space Invaders In-Game Menu
The difficulty in explaining this menu is that it is fairly dynamic and changes depending which system is running. Above is a fairly standard in-game menu for Space Invaders and below is the menu for the Sinclair ZX Spectrum.
ZX Spectrum In-Game Menu
As you can see there are some additional options and some removed. The menu at the side will take you through them all.
"Add To Favorites" adds the current system or software image to Mame's favourite list. Any systems or software that you add can be accessed from the filters panel on the main user interface screen.
"Select New Machine" lets you pick a new system to run.
"Return To Machine" closes the in-game menu.