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
.......
....
..
.