The problem with a .bat file is that you're left with a command prompt window.
The best solution that I've found is to use a VBScript file.
Make a copy of your nestopia.xml file and rename it to nestopia.xm_
Create a new text document, name it NES.vbs and paste the folloing text:
Set wshShell = CreateObject("WScript.Shell")
wshShell.run "cmd /c copy nestopia.xm_ nestopia.xml",0,true
Set wshShell =nothing
Point your shortcut to the new NES.vbs file.
It just copies the .xm_ back to the .xml before running nestopia and doesn't leave that annoying blank command prompt window in the background.