Note: I used ZSNES v1.51 for this. If you have an older version, the options you need may not be available.

First, you'll need a program called "mencoder.exe". If you don't already have it, do a Google search for "MPlayer-mingw32-1.0rc2.zip" and download that zip file. From that zip file, extract only "mencoder.exe", and put that file in the same folder as ZSNES. Then, in ZSNES, go to MISC -> MOVIE OPT and record your gameplay footage there if you haven't already done so.

Next, still in ZSNES, go to MISC -> MOVIE OPT again, but then click on the DUMPING tab. Select the number of the movie file number that you previously recorded your gameplay footage on, then make sure the other settings are as follows:

Select XVID LOSSLESS under VIDEO OPTIONS.
Select ZMV LENGTH under DUMPING LENGTH.
Checkmark both DUMP AUDIO and MERGE WITH VIDEO under AUDIO OPTIONS, and make sure COMPRESS AUDIO is not checkmarked.

Then, click START at the bottom and let the computer do its thing. It will take some time (possibly up to 2.5x as long as the footage itself, depending on the computer's speed), but when it's done, you should have a file called "merged.avi" in your ZSNES folder. That file is the movie file of your gameplay footage, and can be uploaded to YouTube as is (but make sure to rename the "merged" file to something more meaningful).

However, if I decide I want to do any video editing before uploading, I use Windows Movie Maker.

NOTE: Make sure you rename and/or move the "merged" file before dumping another ZSNES movie. Otherwise, the previous "merged" will be overwritten by the new one, and you probably wouldn't want that to happen!

I hope this helps. If something confused you, let me know.