Those comes everywhere in all folders and are so annoying. If anyone have a parry against it (other than stick with BSNES and ZSNES) please say so.
I took a look at the source code to 1.43. The answer is: there is no way to work around it. See wsnes9x.cpp. Breakdown:
WinInit() calls a local function named LoadExts().
LoadExts() attempts to open/read "Valid.Ext". If it fails, it calls a local function named MakeExtFile(), which is what's responsible for the creation of said file.
There's no code to disable any of this functionality (no #ifdefs, no GUI toggle, nada) so you'd have to build your own SNES9x binary which doesn't call LoadExts().
Oh thanks for the answer. I don't know if I'll be able to build my own SNES9x but why not give it a try.