Which emulator to use
At the moment, SNES9x 1.42, 1.43 or BSNES 0.32a gives the most accurate experience. Versions of SNES9x newer or older than this will not run the game correctly or at all. You can get SNES9x from its official website and BSNES from its official website.
The most recent SNES9x version, 1.502 will make the clock start at 85:85 making the game unplayable. This can however be fixed by using the clock-altering cheats. Note that the cheat saving is broken in SNES9x 1.502 and it will always leave the last number from the address. To use cheats correctly with 1.502, you must create a .cht file with the time cheats using an older SNES9x version (like 1.43). Then manually move the file so that SNES9x 1.502 will find it.
As SNES9x 1.502 offers no noticeable improvements for this particular game it is still recommended that you use 1.43 because of the overly complicated process required in order to make the game running on 1.502.
The game is in four separate parts. Each episode, originally one a Week, must be played separately. However in order to carry across your data from one Week to another you must rename the .srm file.
You will find the .srm file in the same folder you put the ROMs in. For example, say your Week 1 ROM was "Week1.smc" and the next is "Week2.smc", that means you rename "Week1.srm" to "Week2.srm" and so forth for each Week. If you have file extensions hidden or are using Mac OS X one or more of these files may appear without an extension. If this is the case make sure you keep the filenames the same by NOT adding .srm if it's already there.