Use this version of SNES9X, as it is much more updated...

Snes9x GX 007

Also, there is a list of the features in this thread...

http://www.dcemu.co.uk/vbulletin/sho...d.php?t=171656

If I remember correctly, the versions of SNES9X that are listed in this thread do not support saving to the SD card. However, going by the version that I listed, these are the two save methods...

Snapshot and/or Save State: This type of save simply means that it will save at that exact point in the game. You load the game through the emulator, load the Snapshot/Save State, and the game will start at the exact point that you left off.

SRAM Save: This type of save will save the game in the exact manner as it would on a real Super Nintendo console. For example, on the Super Nintendo, in "Zelda: A Link to the Past", you would press the 'Select' button to save your data, and when you play the game again, you would see it in the slot that you chose. A SRAM save is the same thing.

To save the data in either form, you would go from the game to the SNES9X main menu, select your type of save method, and it should save to your selected device. I'm pretty sure that it can save to the following...

GameCube Memory Card
SD Card
USB Hard Drive (might be wrong on this)

Remember that with a SRAM save, you will need to save through the actual ROM, first.