Im not sure if the newest BSNES is new user friendly, it has a folder system that needs to be implemented in order to play games. Either manually or automatically or with the purify.exe and pressing "play game".
Manual is as so:
(game title).sys *folder*
-program.rom
-Save *folder* \\thats where the save states are stored.
-manifest.xml (not sure if it's created manually, or by BSNES on start up)
Byuu's step by step guide is right here, I just tried to make it even less technical.
http://byuu.org/bsnes/game-folders
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