From the readme (people bitch about there not being info with the emus, but...)
Important:
*Put all the .smc and .srm files into the "GPMM" directory.*
When you first load the program... it displays a screen that lets you
select the .smc file you wish to load from the "GPMM" directory. Do not
select another directory, just a file.
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And now back to my commentary:
For the SNES9xgp emu, all smc files must be in the GPMM directory... not GPMM/SNES as for SNES.fxe (that's right... they're different, with one hardcoded and the other unable to browse directories).
If you want to try out a rom on both you can either copy the rom in both directories if you have the space, or use the comi application to move the file between the folders.