I fixed it by changing the MAME controls to CTRL + Escape to exit the UI.
This has the added benefit of making sure I don't press escape and exit games by accident.
I read the link you gave me, I did not see a solution to the issue I am having. I am asking for help, forums are a major place for getting help ( or helping ).
I am not happy with your response to me at all. I find it a bit rude.
If you follow the whole posting, you will see that even though I came here for help, I fixed all of my own problems.
I do not deserve to receive an unhelpful attitude from anyone. If you don't wish to help further, please refrain from posting.