In my opinion, on Windows, your best bet is TAP/TUN. You need to install the driver (from memory, download the OpenVPN for Windows binary, then unzip it and find the tap-windows.exe containing only the TAP/TUN driver), and then use the installed batch file to "Add a new TAP virtual ethernet adapter". After doing this much, MAME's -listnetwork option should report the adapter.
Once that's done, either route or bridge the TAP adapter to where you want it to go, or use ICS for an easy way to hook it to your Internet connection. Unless you change the default adapter settings, it will show as "not connected" until you start MAME.
Finally, in MAME if you're running a driver that has networking, you should see the virtual adapter under the Networking option of the in-emulation menu. Select it, and configure the guest's networking stack to match the configuration you set up externally and you should be set.
Last edited by pmackinlay; 05/16/19 03:41 PM. Reason: Added mention of -listnetwork