Emulator Problem: How do I save my game in ePSXe?

And how to I not play in full screen like I could using the Sega and Nintendo emulator? When Im playing Crash Bandicoot, I cant find any save button so when i die I have to start the whole game over again.

And how to I not play in full screen

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Go to plugin settings, and pick window mode.

How do I save my game in ePSXe?

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You save in the game ( read about the game on line) or use the epsxe save the states (shift f1, or f2, or f3, etc), and to load the game you just press f1,f2,or f3. Each 'f' is a save slot.

How do I save the game as a file? Is there any "save as" option like Project 64 has?