Don't laugh but when I 1st started using milk I put the dll's in every possible folder to cover all bases
I am 98% sure that they go in the root directory of milk cause I deleted it there and it wouldn't work.
The exact file you need is shown in pic. 2nd pic is what you will see if it works right. You will probably have plugins from other games so the SFC import may be off your screen. If this is the case simply scroll down the list to select it.
I have a short list of plugins because I removed the ones from games I do not use.
Hope this helps.
also you may have to restart milk after you install the plugins or reboot