You're doing it wrong... If you go into 'input settings' in the zsnes GUI you can press the box to configure the buttons in sequence, then you press the button the on-screen prompt asks you to assign. Example: the box says 'press button to use for A' and you press the button you want to use for 'A'. Select the #2 tab and do it again for player 2, then #3 for player 3, etc.