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

- The current official binary is compiled with Visual Studio 2017, you'll have to create
  your own project file for earlier MSVC versions. VS2017 will automatically ask to install
  the correct Windows SDK Version (7.1A)

- A recent DirectX SDK..
  https://www.microsoft.com/en-us/download/details.aspx?id=23549

- DirecXMath. The source files should reside in win32/DirectXMath, or you can download them
  automatically with "git submodule update --init".

- zlib (optional, ZLIB define, enabled by default) - the default solution includes a zlib
  project that builds appropriately (force includes _tfwopen.h for unicode support in s9x).
  The zlib source files should reside in win32/zlib/src, or you can download them automatically
  with "git submodule update --init".

- libpng (optional, HAVE_LIBPNG define, enabled by default) - the default solution includes
  a libpng project that builds appropriately.
  The libpng source files should reside in win32/libpng/src, or you can download them automatically
  with "git submodule update --init".

- To compile Snes9x:
    Start up VS2017.
    Load the Snes9x solution.
    Select the desired configuration and build.
    The Release configuration may build significantly slower than Debug.
    Then you can run it.