Define a save (battery file) as the if the Nes game you're playing have that feature (Config->Directory->Nonvolatile game data).
If that's not the case or you want the save anytime, define the save states folder (Config->Directory->Save states). Then you might use the save & load state options on File menu, or select your save slot by pressing <0> to <9> keys, then hit save key <F7> or load <F5>