Make sure the files are structured properly on your SD card.
In the root of your SD, you should have folders titled Apps and Snes9x.
In the folder Apps, you should have a folder titled Snes9x which holds the boot.elf file.
Now back in the root, in the folder Snes9x you should have two folders. One named ROMS, and the other as SAVES.
From here you place your ROMS in the folder named ROMS, and when you save it will automatically save in the SAVES folder.
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