Go to the "Mouse" section of your Control Panel in Windows™, under the "Pointer Options" tab adjust the "Select Pointer Speed" bar to faster for more sensitive movement, less for slower movement.
This menu may be slightly different if you have 3rd party mouse software installed. Remember that this adjustment will also effect any other mouse you may have connected.
MAME has its own analog sensitivity settings, and usually the default setting is fine. But to adjust this setting (while playing any MAME game) press the TAB key on your keyboard and go to 'Analog Controls'. Write down the default settings there and make adjustments to your liking. If you want to revert, use the settings you wrote down.