hmm, what version of zsnes are you using as my rom path section in the cfg looks like this 
GameDirectory = E:\VIDEOGAMES\ZSNESD\ROMS  (i.e. no double slashes) 
also i use my mamewah config file to point to all my rom folders except mame, 
i used the ini files from 
http://www.cpviewer.emuchrist.org/downloads.htm to help me out
this is my snes config file from mamewah
### SNES.ini (mamewah v1.65) ###
emulator_title                            Super Nintendo
### List Generation Settings ###
rom_path                                  C:\Arcade_Stuff\roms\SNES
rom_extension                             zip
dat_file                                  C:\Arcade_Stuff\roms\SNES
nms_file                                  
catver_ini_file                           
list_generation_method                    rom_folder
### Execution Settings ###
pre_emulator_app_commandlines             
emulator_commandline                      C:\Arcade_Stuff\Emulators\Console\Super_Nintendo\zsnesw.exe "[rompath]\[name].[romext]"{nodosbox}{safelaunch}
post_emulator_app_commandlines            
general_app_commandlines   
.......
....
..
.