best way is to use f5 and f7. I think 5f is save and f7 is load. You change the save slots buy using the numbers 1-9. Read the documention for more info. And yes when you use the menu you can pick the file name to save it as, and where you would like to save it.
not 100% but i think it creates a save file in your games folder. there should be an option in the same pulldown menu that you use to "save state as" titled "load state as" (or so i belive) im not sure how accurate that is since i rarely ever use save states.
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