It should be under menu--->games depending on which package you used. I think the cooking package doesn't generate a launch icon by default, so you have to open a xterm window and type zsnes to start it.

Alternative you can use the version I generated here: http://www.trixarian.za.net/?Projects:SliTaz - I know for a fact it generates the icon in Menu-->Games.

I think the problem is that you need to update-desktop-database after the install. Thats in desktop-file-utils package. I don't know if thats in your slitaz install or not.