You make a shortcut to Nestopia.exe and as one of the arguments in the "Target:" line, you put the full path to the ROM file. Be aware that you should put the full path to the ROM file in quotes if the path contains spaces. Every time you run this shortcut it will auto-launch the game you chose.
Example of what the shortcut would look like (when doing Properties on it):
Target: "C:\Program Files\Nestopia\nestopia.exe" "C:\ROMs\NES\Japan\My Favourite Japanese NES Game.nes"
Start in: "C:\Program Files\Nestopia"
