I had the same problem. I tried install vJoy as it told me i should, but it didn't work. When i tried later with an older version it worked. Install the vJoy version 2.0.4 080714 and then it the circle pad will work!
Ok so I tried this and it did the same thing... and then I clicked the "Enable" checkbox on the SNES9X input config window and removed the check and then it let me set the keys like normal... I re-enabled the box and it works in the emulator lol. Weird.