Originally Posted by
Good Swimmer
How about the other part? Where have you installed the emulator, and do you Run as administrator?
This definitely seems like a write permission error. Often things will look like they saved but that will revert to unsaved when you close the program*. Typically when it is in a protected folder the program will give you an error window, so I am guessing that the folder is not the problem.
You can set ePSXe to Run as administrator by default: Open the folder with ePSXe.exe, right click the emulator, click Properties, click the Compatibility tab, near the bottom click the check box for "Run this program as an administrator" and click ok. Now when you run ePSXe you will get the confirmation window where you would click Yes.
* Are you closing ePSXe the right way? You press Esc to get back to the window with the menus, and then exit out from there. If you aren't doing that, you are probably closing from the Task Manager, which gives you a confirmation window stating that data won't be saved. This could cause your Memory Card files lose any data you saved.