Simultaneous opposite direction inputs should be disabled by default if you're using the recommended snes9x core. https://alttp-wiki.net/index.php/RetroArch_Settings is probably worth a read to make sure you're using the right core with the right settings.

The config option for it is only available after a game is loaded - load a game, hit F1 to bring up the RetroArch quick menu, Options -> Allow Opposing Directions. If you (un)set it once, it should persist for all future uses of that core.