1. The Emerald Challenges are dead anyway...
But 2. There should be a "Record Input Movie" or something like that in the Gens+ 'File' menu. If there isn't, then you haven't loaded a ROM. (If this is the case, you can click "Open and Record Input" to Open a ROM, recording from the start.) Click "Stop Record Input Movie" when your recording is finished.
WARNING: Input Movies are not compatible with savestates, so ensure that you have your loading point (like the level select screen) ready before starting the Input Movie. Also, if you screw up during an Input Movie, you will have to stop it, re-load, then start the movie again.
That will produce a .giz file. (Just remember what ROM it came from, preferably by putting it in the file name)