As he said, we need to name the bios file as BS-X.bin or BS-X.bios, however I seen that snes9x expects a file named "stbios.bin" inside the BIOS folder when loading a BS-X game from the menu:

What is exactly that bios for?. The "st" naming part seems to reffer to "StellaView" but I think it is not, because if I rename my 'BS-X.bin' to 'stbios.bin' and I try to load BS F-Zero Grand Prix 2 just dragging the rom file into the snes9x GUI the rom will not load, It only loads if I name the file as 'BS-X.bin', so...?
This is a little bit confusing for me.