Are you using the OpenGL or D3D9 version ?
If you are using the OpenGL version in puNES go to Settings > Video > Rendering, once there it should say Software and OpenGL GLSL, select OpenGL. This will only support the GLSL shaders, not the CGP ones.
If you are using the D3D9 version then you should't need to select any renderer, it should let you load CGP shaders though.
I normally use the OpenGL version but I downloaded and tested the D3D9 version and it worked for me.