Various software and tools are required to compile Snes9x on Windows:

NOTE: Unicode support requires a special zlib build - see the end of the zlib entry

- Microsoft Visual C++ 7.1 or Microsoft Visual C++ 6.0 SP5 with the
  latest Platform SDK, to compile all the C++ source code.
  The current official binary is compiled with Visual Studio 2008, you'll have to create
  your own project file for earlier MSVC versions

- A recent DirectX SDK. The official binary is compiled against the June 2008 SDK.

- zlib(optional) - The release binaries are built against a static zlib compiled
  against VC's multi-threaded C runtime and renamed to zlibmt.lib, to avoid linker conflicts.
  removing ZLIB from the preprocessor definitions and zlibmt.lib from the library
  listing will disable zip support.
  (the zlib directory should reside at win32/../../zlib, i.e. 2 directories up, the
  lib file is expected in win32/../../zlib/lib)
  If you want to build snes9x with unicode support you can use the project file in win32\zlib
  to compile zlib - if you want to use the project files supplied with zlib you have to add
  _tfwopen.h to their force include list

- libpng(optional) - Like zlib, this is a renamed libpng.lib, built against the same
  C runtime for the same reasons. Building your own is as simple as changing the runtime
  used by libpng's own project files, compiling, renaming the result to libpngmt.lib
  HAVE_LIBPNG is the define used to include this code, used for screenshots.
  (the libpng directory should reside at win32/../../libpng, i.e. 2 directories up)

- fmod(optional) - Versions 3.20 and above. Used to provide extra sound output
  options that increases hardware compatibility with some PC hardware.
  Version 3.33 broke A3D support on some hardware so I reverted back to
  version 3.20. However, I'm told 3.40, just released at time of writing,  fixes the problem.
  Download from www.fmod.org Unpack into a temp folder and copy the API
  sub-folder contents into win32/../../fmod. Disable fmod support by removing the
  FMOD_SUPPORT from the Preprocessor Definitions text box.

- fmod ex(optional) - Used to provide extra sound output. Cannot be used at the same time as
  normal FMOD support. Disable fmod support by removing the FMODEX_SUPPORT from the Preprocessor
  Definitions text box.

- CG Toolkit - Enables CG Shader support. This can be downloaded from nvidia's CG toolkit page:
  http://developer.nvidia.com/object/cg_download.html
  Only the header files are required to compile.

- To compile Snes9x:
    Start up Visual C++.
    Load the Snes9x project file.
    Select the desired configuration and build.
    The Release configuration may build significantly slower than Debug.
    Then you can run it.