For SNES Advance:
1. Download the SNES Advance package from SNESadvance.org
2. Grab the updated SuperDAT file (snesadvance.dat) from
http://www.pocketheaven.com/boards/viewtopic.php?t=3366 and use it to replace the old one
3. Build your games, trying a simple one that's known to work like Super Mario World. Note that if a game has an entry in the snesadvance.dat file you'll see an asterisk (*) next to its name.
4. Test it in VisualBoy Advance to make sure it worked.
5. In-game, press A+B+Start+Select to set your options
For Snezziboy:
1. Download v0.26 from the Sourceforge homepage
2. Rename snezzi.dat to something else
3. Grab the updated SuperDAT file (snesadvance.dat) from
http://www.pocketheaven.com/boards/viewtopic.php?t=3366 and
rename it to snezzi.dat
4. Open both database files in Notepad and turn off Word Wrap
5. The shorter list is the one that originally came with Snezziboy and contains some fixes specific to Snezziboy - every other game can use the fixes from SNES Advance. Therefore, copy the entries for the games you wish to play from the shorter list into your new snezzi.dat file to create an uber-list. Make sure you actually search for the old entries in the larger list and replace them with the entires from the shorter ones, don't just add them to the end.
6. Drag-and-drop your SNES game onto snezzi.exe and it will output a *.smc.gba file for you to test in VBA.
7. In-game, press L+R+Start to set your options. You'll definitely need to set these for every game (but only once). The background layers often need fiddling, but you can use the L+R+Select+Up button combo in-game to scroll through a few known "good" combinations.
More info on the various Snezziboy settings can be found at
http://wiki.pocketheaven.com/Snezziboy and I highly suggest you read it. Snezziboy appears at first glance to have horrible compatibility but usually you just have to fiddle with the settings to get a good number of games to work.
Compatibility lists for both emulators can be found here:
SNES Advance,
Snezziboy,
Snezziboy #2.