Figured out what worked for me. Assuming you can easily browse your samba shares on a windows computer without a username and password it's all about directory structure.
On your computer where the roms are stored, you want to share the Parent directory of where the roms are, so for instance on my computer it's:
.../Emulation/Snes/roms/(rom files)
You have to share, in this case, .../Emulation/Snes
Not the "roms" folder itself. So now when you look at my shared folders on a Windows machine you see a folder called "Snes".
So now in Snes9x your settings should be like this:
Network
IP:192.168.x.x to the IP of the sharing maching
Share Name: Snes (in my example)
Username: 0
Password: 0
General Settings (or whatever it's called)
Load: Network
...
Load Folder: roms (in my example)
So you see, the Load Folder must be a SUB-Folder of the samba shared folder that is directed to in the Network settings. You can't set the base directory to load Roms out of. Why that is I don't know, but that's the way it works.
So a convenient way to set up all the Nintendo GX emulators is to have one folder called "roms" on your computer somewhere where you have sub-directories for the various consoles, so the directory structure would be:
../roms/
..
/snes
/nes
/gba
Now in the Network settings for everything you'd set the share path as "roms" and in the Load folder for each individual application you'd put the name of the console. Make sense?