Shaders are RetroArch compatible and can be downloaded from the following locations:
Cg Shaders:
https://github.com/libretro/common-shaders
Cg is an older standard and uses the Cg library from NVIDIA that NVIDIA no longer supports. Cg shaders will work in both Direct3D and OpenGL modes in the Windows version of Snes9x. Some features of this standard aren't implemented by Snes9x, so other formats are preferred.
Cg shaders require the Cg runtime dlls next to snes9x.exe, or somewhere on your path. Use the version corresponding to your snes9x.exe (x64 for 64bit).
GLSL Shaders:
https://github.com/libretro/glsl-shaders
GLSL shaders will work with the OpenGL modes in the Windows and GTK ports.
Slang shaders:
https://github.com/libretro/slang-shaders
Slang shaders will work with the OpenGL modes in the Windows and GTK ports.