Hey guys, I just figured this out yesterday and I wanted to share it with the community in hopes that it helps somebody else.
I wanted to be able to exit ZSNES (one of the best SNES emus out there, IMNSHO), when I pressed ESC, since *all* other emus I use work that way. Well, I posted a request on the ZSNES board, but that led nowhere. Yesterday, armed with a lot of determination I reverse engineered a way to do this, here's the short-yet-semi-techie how-to:
Once you install and configure ZSNES to your liking (resolution, controllers, etc.), open the file ZGUICFGW.DAT using your favorite Hex editor. I like to use UltraEdit. Anyway, open the file and go to position 200. Change the bit there (it should be 00) to 01. What's 01, you ask, well it's a keyboard scancode! Save the file, run ZSNES again and rejoice on its new quick exit key.

Once you do this though, ESC will no longer work as the menu key, so you need to change that bit back to 00 if you want to reset it. Please note, this works for me on my computer and should anything happen to your computer because you try it, please don't blame me. You're on your own here.
Anyway, for more details, please read the related thread at the ZSNES board.
http://board.zsnes.com/index.php?board=5;action=display;threadid=2944Have phun.