Look for a version labeled SNES_Station_v0.2.6c or higher. The 0.2.6c build is widely considered the most stable release for most PS2 models (fat and slim).
: You can use tools like UltraISO to bundle the emulator and your ROMs into a single bootable DVD image.
The most classic method is to burn a custom CD-R with the SNES Station emulator and your chosen ROMs.
You create an "ISO" file that contains both the emulator and your ROM library. Gather your legal SNES ROMs.