Just out of curiosity....what chip do you have? And what BIOS/Dash are you using? What DVD drive do you have?
I have Xsnes9X....I put it on a CD as an ISO with games on it.
I guess you already downloaded Xsnes9X....and some games (roms) to accompany it. Did you extract the roms from .rar format?
I dowloaded the emu, and some games. I extracted the roms to a folder using Winrar (or you can use powerarchiver), and I put the emu in the same folder. Then I used SimpleXISO to make an iso of the contents of that folder. I burned the image of that ISO to a disc using Nero (Roxio also worked fine for me). Then I just inserted the disc into my drive an it launched the emu dash.
If you have a Thomson drive, you might need to use a different type of CD or DVD. Some Thomsons have trouble reading CDs. I use Verbatim CD-RW....works fine in mine, but not my brothers.