TRM: Ok, well here it is, from start to finish.
1. Make a directory for the emulator.
2. Get a SNES emulator such as ZSnes. That's avaliable from
www.zophar.net/zsnes.
3. The file itself should be a ZIP file, so unzip it into the directory you created once it's finished downloading.
4. Download and unzip the SMW ROM into the directory also. It might take some looking, but it's relatively easy to find.
5. Get the saved state, unzip it into the directory with zsnes, and rename it to whatever the name of the SMW ROM is, without changing the extension.
6. Once you're done with 1-5, run zsnes. If you don't know how to do that, click start, and run. Push browse, and locate the directory you made, then the zsnes program itself. Double-click it, then push Ok.
7. You should now be inside ZSnes. Open the SMW ROM. It should be in the same directory as zsnes. Push escape if SMW runs before you can do anything else? Choose pick state and use state 0, and then choose load state.
9. Congratulations. You've (hopefully) made it past my terribly confusing directions!
I'm sorry if that didn't help you, TRM, but as you can see, I'm a little winded. I'm not so good at directions. Anyway, I hope it works. Oh, and as always, I've got to say that the ROM you find is of course illegal to use if you don't have an actual copy of SMW in your possession, but I'm 99% sure everyone does. I just had to say it. ;)
-YOSHI :P