Humm, I had trouble with SNES9x too. I never changed anything in the dmenu.cfg file to make it work, either. I just uploaded the roms directly into the SNES folder, and just select straight on one of them, and it loads up beautiful, no lists or nothing.
Just don't select snes9x at all.
Every time I did that, I used to get a flashing red and pink screen.
Thought something was wrong with SNES
Turns out, just needed to put the files in that same place, and select directly on them, and viola!