Note that "buying" the ROMs on a CD or DVD is almost certainly VERY illegal. Well, the selling is, the buying may not be.
With a little snooping, it shouldn't be too difficult to find any of the ROMs you need. I have a big problem with the sellers who take stuff that is more or less freely available then resell it - making a (substantial, if you're paying nearly $50 for a few DVD-Rs) profit off someone else's work. And, the nature of MAME is that there are many changes with each new release, so some of your games that work with one version might not work with the next one.
Getting truly legal copies is a bit tricky - officially, you need to own the actual arcade circuit board for most games. Some can be had legally when sold in various official compilations. (For example, the new Atari Classics CD has about 20 arcade games, presumably emulated.)
I would say, do a little snooping, and if you can't find what you're looking for, ask some friends if they use it or know someone who might - chances are you can find someone or at least someone who can point you in the right direction.
As for the original question, most video cards with multiple outputs (which is most of them nowadays) should be able to easily send the video to multiple outputs... certainly the Radeon cards can, I believe nVidias can... Just go into the Advanced section of the display properties and you should have a tab for turning on and off specific outputs. If you don't see it, you might be running the default Windows driver - go to the manufacturer and download and install the latest driver.