I known it says to use libSFX but I don't understand the Cygwin installation thing. So what should I use?

libSFX is what I recommend - it comes with the ca65 assembler. But any assembler that supports the 65816 will work.

Yeah, I figured it out.  But I have to use my Mac to make the code and use my PC to actually emulate because I couldn't get bsnes or bsnes-plus on the Mac.