In the unix world, most programs are invoked with a command line, and refuse to do anything meaningful if they aren't given any information on the commandline.
In the case of SNES9x, the commandline should contain the filename of the ROM you wish it to run, and possibly some options.
An example commandline could be:
snes9x chrono.smc
The most natural way to invoke commands in an unix system is to launch the programs from a "shell", running in a "terminal" or "console".
For reference, in the Microsoft world, shells are called "prompt"s.
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I use the term "unix" in the meaning of all unix-type operating systems. Today, many things which are attributed to Linux specifically, are actually common to all unix-type operating systems, which are plenty. I try to avoid the Linuxification when it's not something that is specific to Linux.
Reference:
http://en.wikipedia.org/wiki/Unix-like
