In network settings, it says IP SMB share. I can confirm that entering the Ip of the host pc there just works fine. (no need to mess with / or \ )
The program has a Snes9xgx folder on the wii sd card or usb drive. Copy that folder and it's contents to your pc. One of it's subfolders is the roms folder.
Share the snes9xgx folder on your pc. Since you haven't told yet what os you are using, I can't give detailed information or a video tutorial how to do that.
The Smb share name will likely be snes9xgx, unless you changed the default choice of your os for the share name.
In the program on the wii, option loading and storing, set the loading and storing device to network.
So, instead of F:/SNESX9/Roms
Asuming your smb share is snesx9 and roms is a subfolder of it, the smb share name is simply snesx9