It depends on the emulator you're using. (ALWAYS read the readme!)
For SNES emulators, you usually press Volume+ and Volume- at the same time, that's how it was on my GP2X F100.
It's because the emulator needs every button the GP2X has.
NES = L+R then hit menu
SNES = hit both volume buttons together (I normally just hold on then hit the other instead of trying to hot both at same time
GBA = y button (whatever top button is)
Sega = Select