You must have a 25 pin male-male straight through (wired 1-1) cable. Sometimes called a switch box cable. A PC to PC (laplink) cable won't work.
Use what Fat Mike calls vgs 2000. You can probably get it from his web site.
Once you load a ROM into the unit it will stay loaded as long as power is applied and that includes power from the parallel port. So, if you want to load a new ROM you need to turn off the snes AND unplug the parallel cable from the PC briefly (or turn off the PC) and then plug the cable back in.