First off, don't use ZSNES, it's awful when it comes to accurate emulation and it's pretty buggy (the project is also dead, it has not been a new official release in many years now), I recommend you to download Snes9x 1.53 either x86 or x64 version (it is more accurate and is less buggy, and pretty fast too) depending on what OS architecture you're on. If you're up for the purest accuracy there is with possibly no bugs at all if your system is good enough, try BSNES/Higan.
Second off, I'm not sure but ZSNES may use DirectDraw to render the image, you can run ZSNES in windowed mode and try software capture instead, it should work. Though I still highly recommend Snex9x or something else that isn't ZSNES.