When tracing CPU, it should output a .txt file matching the name of the rom you opened. Unless something's funky, it should be in the same directory as the rom. If you do breakpoints, nothing will be saved to text, and the only time you'll see code is when it snaps. At that point, it'll show up in that tiny window, and you'll have to work from there.

To get working, all that should be needed is to check "CPU" in the logging window. To keep it from spitting out 75 files almost immediately, you should check "trace once," which won't log repeat code. It's handy if you're only looking for a specific routine, but if you need to check one routine with various values (A, X, and Y), then you're probably better off not checking it.

--Edit--
If your rom is in the C:\\, and you're using an OS like XP, you may have issues with a program trying to create files there (like it won't happen). To solve this, run as an admin, or put the rom on a different drive/partition.

Most of the time when switching tracing options, you'll need to close and re-open the program. You'll also have to delete the log that it produces (can't do so while it's running) if it comes across a routine that is already logged.

Yes, I know, annoying...