Using duel shock 3 controllor. Where do i set the diagonal gamepad?

Using SNES9x should that do it? or can i fix it some how? right now I reasign some keys to my keyboard if i have to swim in a level :(

So i downloaded SMW for an Emulator. I came to a swimming level and tried to press down while swimming and figured out that you go less up doing so. Can't seem to go forward while pressing down and swimming. Is this intended or is it my controller or emulator acting up?

Thanks for the help Ellesd