NDS-ROM.How Do I Save Games??????

Hey guys. I NEED ur help. I Recently d/l DS games and the standard NDS-ROM Player, but when i hit File->Save State it shows "0000/00/00 00:00" and there's nothing that pops up in my Load State menue off the File menu. Then when i restart it the aboce "000..." file isn't even in the Save State spot. How do i insure my saved game is saved to the pt. i can restart the comp. and start where i left off. If u can help it'ld be much appreciated. Thank You