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You may be connecting the controller after launching zSNES. It won't recognize your controller unless it was connected before launching it.The first thing to do would be to connect the controller and verify that it's working.Connect it to the computer and then go to Start>Control Panel>Game Controllers. You click on your controller's properties to verify that all of the buttons and axis are working. It's plug and play so there shouldn't be anything you have to set up.Once you know you've got it working, launch zSNES and then go to the controller configuration menu. It should work from there.
2: Unless they sell an SNES/USB converter, it'd be useless to me even if I knew where it was.
3: The PS2 controller is the closest approximation to the SNES controller out there. It's not the same, but it's every bit as good.