BEFORE ANYTHING, MAKE SURE YOU THE SD CARD ISNT ON LOCK. THATS PROBABLY THE REASON WHY IT WONT SAVE
the saves go to the SD card, so you just bought a GC memory card for nothing
Anyways, when you first start up the Emulator, itll automatically create a settings file on your SD card.
Plug in the sd card to your computer then go Apps>Snes9xGX>Settings.Xml
open the Settings XML file in a textediting program (whats the windows app...Notepad i think)
look for a line that says something like (toward the beginning)
If it doesnt, post what it says ill post what you should change it to. If you don't feel like it, just copy/paste the three lines i posted over the three lines that look like it
On your sd card make 3 folders in the Snes9xGX folders called roms, saves and cheats respectively. Copy and paste your roms into the roms folder. Once you start up the emulator, itll load the roms from where you have them saved, and it will automatically make a save file, so in game you just go Start>Save or w/e the save option is.