Since you guys have been helping me out so much I thought I better at least post something useful.
The following auto hot key script (crudely) will launch snes9xrr, load up the script you specify and go to fullscreen.
The command line options are as follows:
snes9xlauncher.ahk "c:\path\to\rom\rom.zip" ".\script.lua"
The paths MUST be in quotes and there shouldn't be any extra spaces.
IniWrite, FALSE, snes9x.cfg, Display\Win, Fullscreen:Enabled ;Ensure fullscreen is off
IniWrite,%2%, snes9x.cfg, Settings\Script, LastScriptFile ;Write to the ini file the lua script name
Run, snes9x.exe "%1%",,, PID ;Launch snes9x
WinWait ahk_pid %PID% ;Wait until emulator loads
sleep, 50
WinMenuSelectItem, ahk_class Snes9X: WndClass, , File, Lua Scripting, New Lua Script Window... ;Open lua dialog box
WinWait ahk_class #32770 ;Wait for the dialog to load
sleep 50
ControlClick, Run, Lua Script,,,, NA ;Press the Run Button
sleep 50
WinMenuSelectItem, ahk_class Snes9X: WndClass, , Config, Video, Full Screen ;Go to Full Screen mode
WinWaitClose ahk_pid %PID% ;Wait for exit.
IniWrite, FALSE, snes9x.cfg, Display\Win, Fullscreen:Enabled ;Set the fullscreen mode back to false.
Note that the script is designed to only work if you specify a lua script and the lua path must use lua-style path syntax if you are using a relative path.
I hope someone finds this useful, and remember, 1.51 is the last revision of snes9xrr with proper lua implementation.