The official Snes9x GX does not include cover support. You need a community-modified version.
For the emulator to find the images, the folders must be named correctly. The emulator looks for artwork in a specific subfolder structure. snes9x gx cover mod install
Place your Super Nintendo ROMs (usually .smc or .sfc files) into the /snes9xgx/roms directory. The official Snes9x GX does not include cover support
Insert your SD card into your computer. Ensure the following folders exist: snes9x gx cover mod install