You must have a gamecube memorycard for this.
If you have an old version of snes9xgx, you have to save manually. First, save in-game. Then go the emulator's menu and go to SRAM manager and select save. Then go back playing or turn off the game, whatever you want.
When you later want to load your save: first load the game, go to SRAM manager, load your save, go to the game and load your save in-game.
If you have a newer version of snes9x, you can go to the options and set auto-save on. This will ask you if you want to save each time you go to the menu (by pressing RIGHT on C-stick) and it will automatcilly load the SRAM data if it's present when you start a game