For Dolphin open the emulator, go to Tools > Options > Interface tab and uncheck "Confirm on Stop"
For Mame while it's running press Tab on the keyboard to bring up the UI. Then go to Input (General) > User Interface > look for UI Cancel. You can set a hotkey combo or multiple hotkeys to close out Mame.
I don't use Snes9x but I will get it and see what I can find in it, I suspect there is a setting in somewhere to have it start full screen.
Edit:
For Snes9x go to Video > Display Configuration, check Fullscreen and uncheck Emulate Fullscreen. This should work.