What law requires the Mississippi Supreme Court to write or approve the court rules of the courts in Mississippi?

That is a very off the wall question, why would you even need that? Try looking at the statute that created the Suprene Court (the enabling statute), that usually outlines the roles and duties of various governmental bodies.

Whether or not there is a specific statute, the rules are the rules and you must follow them. Whether a court writes its own rules, or another court writes them for it. If you are a judge or someone involved in the court, ask a lawyer from that court. But as a citizen, it likely has no bearing on whether or not you are bound by those rules.