Emulator Problem: Save State Issues!!

How do you save state on the ePSXe for the PC? I tried doing the obvious way (to me). Selecting the slot to save it in and then using F1 to save periodically but that isnt working. Had the same issue with ZSNES. SOMEONE PLEASE HELP! I HAVE TO SAVE THE DIGIMON WORLD!!!!!!

hmmmm, what about using the ingame save? Is that not working as well?