I was trying to figure out how I could save savegames and snapshots outside of the folder that the ROM is is and I searched these forums but kept coming up with the same unhelpful answers over and over (not a knock on the forums or its members, just saying that nothing mentioned helped) until I realized something. I did have this setting done before and I could save outside of a ROM's folder. And one of the posts here reminded me.
Make sure your path is DOS compatible. Meaning that some folders like the "My Documents" folder have a DOS equivalent like "MYDOCU~1". The number is there to differentiate similar begining folder names. I thought I'd post this and be helpful at least once in my misbegotten life.

But you have to make sure what folder names are what in their DOS equivalents. WZSNES doesn't even show the DOS equivalents. But I might be wrong. There might be an option to show that. Get ahold of a program you know that sees the DOS equivalents and use the Open dialog of that program to get the proper path name and enter it in the Paths menu option and/or the cfg file (I'd do it in-program. That seems to take better).
The perfect program is the Run program. The path field automatically fills in the blanks so experiment a little. It turned out one of my folders was the second similar DOS named folder. So make sure. It works for me. Remember, it's 8 characters long, no spaces, and the name of the folder can only be 6 characters accomodating the tilde and the number.