First, I have been all over the control setup (configure options - general inputs - player 1 controls) and for the life of me I cannot figure out how I would bind "insert coin" or "Player 1 start" to my controller in order to start playing. I know i need these options but they are not in the controls listed there.
First of all, what OS and what kid of controller? That makes a difference. You can find coin/start inputs under "Other Controls" if you want to map them for all games.
Second, I know there should be some way to get into a "setup" menu where you can set credits per "coin" and lives per credit, game difficulty, etc. but as above I cannot find the options to access this.
Some games are configured with DIP switches which you can get to through MAME's in-game menu. Other games have a service mode where you set options, which you may have to enter with a service button (often mapped to F2) or with a DIP switch. Given an specific game, we can probably give a more specific answer, but it really does vary with the game.
Third, Is there a way to run the emulator windowed? When I run it, it defaults full screen and when I try and try and alt tab to another window i get a fatal error and the program crashes
You can run with -window on the command line or "window 1" (without quotes) in your mame.ini file. You can also switch between windowed and full screen with Alt+Enter or Option-Return.