Here's a (really) small step by step guide on how to begin, if you want to record a tool-assisted SNES movie:
1. Make sure you have
SNES9X v1.43 v9+.
2. Also make sure you have a good Mega Man X ROM (we do not distribute ROMs here, nor do we post links to ROM sites, so how you get the ROM is your business).
3. Open the MMX ROM with SNES9X. (File->Load game...)
4. When you have loaded the game, fo to File->Movie record, when the "Record movie" window pops up, just click OK.
5. Put on frame display to see what frame you're currently recording (go to Input->Customize hotkeys to see what button is bound to frame display).
6. Make a savestate somewhere in the movie, and then load the savestate. You'll see that your movie is rewinded to the point where you made the savestate! This way you can redo stuff over and over until you get it right. You should also try recording input with frame advance, to get a hang of it, and it might be fun to try recording at lower emulation speeds too. Just fool around with these tools, and you'll get a hang of it for sure. :)
Perhaps you already knew all the stuff in point 6, but I hope this post made some sense to you. :)