Hey, I figured out how to use my GX save on Snes9x.
https://gbatemp.net/threads/snes9xgx-frz-files-on-pc.300594/
That's the thread where I figured out how.
EDIT:I'm going to start trying to use cheats later.
EDIT: I finally got the cheats to work on Zsnes, Snes9x, and Snes9x GX. :D