Instructions
Open Zsnes.
Load a Snes game rom. When you get to a point in which you would like to save your game, go to the main menu by pressing Esc on your key board.
Click on GAME.
Scroll down to SAVE STATE and click. It will ask for confirmation. Click YES.
Press Esc again to return to your game. On the lower left hand side of the screen it should say SAVE STATE and a number 0 to 9 SAVED. Like this: SAVE STATE 0 SAVED. Your game is now saved.