Many SNES games take a very long time to complete from start to finish, so they allowed your progress to be saved at the predefined places chosen by the game designers. The game cartridge contains a battery-backed RAM, known as SRAM, and your save data remain in this SRAM until the battery shutoff.
Snes9x has two methods for saving games. One is the same as of the real SNES shown above; emulating SRAM. The SRAM contents are saved into a file (.srm) so you don't need to be worried about the battery shutoff. The other is more convenient way than the real SNES; 'freezing' or 'snapshotting' the game. It means saving the whole game state anywhere you want, beyond the game designers' intent - ideal for saving your game just before a tricky bit!
It's easy enough, just save the game as you do with the real SNES. Snes9x outputs the contents of the emulated SRAM into a file (.srm) when you load a new game or exit Snes9x. This file is automatically loaded the next time you play the game.
To avoid losing your progress if Snes9x or your system crashes before the .srm file is saved, Snes9x provides auto-saving .srm option - the .srm file is always updated when the SRAM contents are modified. See into the 'File' tab of the 'Preferences' dialog to turn on this option. You can also update .srm file manually by choosing 'Save SRAM File Now' in 'Option' menu.
Snes9x provides 12 slots for freezing the whole of your game state. During the game, press 'Freeze' key and you can see the slots numbered from 0 to C in the game screen. Press 0-C key (or move the yellow square cursor by the joypad and press start buttton) to save the game state to each slot. To load it, press 'Defrost' key and choose the slot in the same way. The most recent freeze file (.frz) is automatically pointed by the yellow cursor when you entered the freeze/defrost screen. Thumbnails and time stamps will be your help. If you mistakenly entered the freeze/defrost screen, press ESC key and exit.
Additionally, you can manually save/load the freeze file by using 'Freeze State to...' and 'Defrost State from...' in 'Option' menu.