Make sure you press the button enough times to save it. The save screen was a bit weird for me too. And I think when it asks you if you're sure to save it, the No option is highlighted, so make sure you select Yes lol. Yeah, these suggestions sound stupid but worth a try.
If you're using an emulator to play it, make sure everything's set up right too. Make sure the save files are in the same folder as the ROM itself.