I've had this same issue, off and on, with several versions of ePSXe. I never did figure out what exactly causes the issue, but in the meantime save states should work fine, assuming you don't want to do anything else memcard related (the FF8 easter egg, battling friends' characters, etc).

You could even try another emulator; pcsx-r is a pretty good one and (I believe) uses the same plugins that ePSXe does.