You'll need to use the normal 'picker' to load that software. The software setting is for support of the software lists, located in your "HASH" folder. AFAIK, the internal UI is not set up for picker use on systems which require a cartridge to operate. MESSUI should have this option, or use the command line to load your game. SNES softlist items are are generally in a split format, much like NES titles are now.
mess snes -cart "e:\pathto\snesgames\smworld.smc"