snes9x is not reading my roms

[Jeff-496]

I downloaded the snes9x emulator and loaded it up but when I go to load game, it doesn't find the game I saved in my rom folder. Does anyone know why this happens? I also get this message when I open my emulator and it says, Security warning, unknown publisher. I don't know if that message is normal or has anything to do with why my emulator isn't finding the rom but any help is appreciated. Thanks.

[alcoatjez]

Turn of UAC in Vista and it stops asking that.
How do you mean you "saved a ROM"? You mean you saved while playing on Snes9x? In that case you probably should choose "load state".