I’ve tested these steps in Ubuntu 11.04 Natty 64bit

Download ZSNES deb from https://launchpad.net/ubuntu/natty/i386/zsnes/1.510-2.2ubuntu4

Install all the dependecies:

sudo apt-get install libao4 libc6 libgcc1 libgl1-mesa-glx libpng12-0 libsdl1.2debian libstdc++6 zlib1g

In terminal you can do the following:

wget http://launchpadlibrarian.net/54332336/zsnes_1.510-2.2ubuntu4_i386.deb

dpkg -x zsnes_1.510-2.2ubuntu4_i386.deb zsnes_dir

cd zsnes_dir/usr/bin

./zsnes -ad sdl

At the end of the process, your terminal should look like this:

Source: http://ubuntuforums.org/showthread.php?p=11054669#post11054669