You'll soon fill up the 32mb SMC - Once you start getting into MP3s and DIVX movies you'll really need a 128mb SMC. A good place to buy these at the moment is www.7dayshop.com - they sell them for well under £30 and delivery is only 95p. I'm sure if your not in the UK theres loads of other places where you can buy one for similar prices.
My GP32 came in a small box and included the GP32, Manual and a USB to GP32 cable. First thing I did was goto the GamePark web site, downloaded the PC drivers, PC software etc and then registered my GP32. I then went to the Entware web site and registered there. I believe theres a guide somewhere which explains all of this - its pretty simple really.
As for the SNES EMU - I've not tried yet, I'm still playing about with the PCEngine Emu, Doom and all the other freebie games/demos/utils!