Parappa the Rapper......LOL, that game is a pathetic pile of trash.
Anyways, there are 2 methods of saving. Saving the normal way, through the game or saving state. (Through the emulator) Open the game and go into load state and load the one you saved. If you saved by means of normal psx method then check what memory card is configured to use. Swap and do whatever you can try because I dont know how you saved.