I downloaded the last test version and when I try to use a shader I get an cg error (Situation: Compiling vertex progarm / Error: The compile returned an error). I've got the dlls in the SNES 9X directory, the last DirectX and I also updated my video drivers. I've tried using shaders on both Nvidia and ATi GPUs so I'm probably doing something wrong.
I tried with a Nvidia 260M and an ATi 5870 both with the last drivers and Direct X. As for shaders, I used those included in the Themaister's Emulator Shader Pack, all with the same result.