Snes9x supports cheats if you want to unlock/bypass something in a game. The emulator automatically pauses the game, when you switch to a different window, you can toggle this option off. Moving to the Emulation menu, you can set the program to jump frames, add ROM hacks and choose some advanced options like rewind time, Hi-Res AVI recording, etc. You can also capture screenshots from the emulator's File menu. SMV video which is playable with the emulator, but may not work with your regular video players. There is one more video recording mode in Snes9x, and this one is called 'Movie Record'. While the recorded video retains the audio, the program mutes the sound while recording, so playing a game when you record it is slightly difficult.
The emulator will record the gameplay until you go back to the menu and click on stop recording. Set a file name, and then the compression settings and hit OK. Snes9x has a built-in recording option that can be accessed from the file menu.