If you're using SuSE, you shouldn't be unpacking any .gz packages..
what I think you were doing was to extract a compressed archive of zsnes, which includes the source code of that (or that's what I think, usually source code is distributed that way). Instead you can get it done more easily (than making sure you've got all the needed compilers, libraries, dependencies etc.): SuSE has a graphical tool to install new packages (from internet reposities) and though I'm not a SuSE user I guess it's in the control utility of SuSE: yast. So open that up and select the package manager, find zsnes and install it from there; probably a lot easier, because if zsnes happened to need some other program(s) to work, you would get them too automatically that way. If you instead compiled it from source, or ran some shell script to do the installation (I'm not sure how it's handled with the zsnes package you have), it might not work out as easily, if at all. Compiling programs is easy after you've got used to it, but if you just want to play games, use the binary packages using YaST's package manager.
Other option is to locate a SuSE specific .rpm package from the net which holds zsnes. Probably called zsnes-versioninformation-susesomething.rpm. Download it and install (by double-clicking on the file).
