Some another things you can try.
Exit mGalaxy, in the folder there is an executable called "mGalaxy_Screensaver.exe", if you run it it will launch the last game with the last sytem, the screen saver have tried to run, and if you move> return on windows
In the folder "Data\Screensaver"
You can see a file "Screensaver.xml" with some info like the volume or the rom to launch.
<Screensaver>
<Settings>
<System>Multi-system [MAME]-hH4de14F</System>
<Emuvolume>1000</Emuvolume>
</Settings>
<List>
<Game Description="Galaxy Fight - Universal Warriors" Filename="galaxyfg" Extension=".zip" />
<Game Description="Windjammers / Flying Power Disc" Filename="wjammers" Extension=".zip" />