problems saving game on the psp

I got the sega genesis collection game for psp. I lke it since it has phantasy stars 2-4 and sword of vermillion. I noticed they each have their own file saves as they would in the original cartridge. However the next time i turn on my psp and start the particular game, the file that was saved was gone. I then noticed that since each of these games in the psp game are just rom versions, the game comes with a save and load state for each game. Is there a way to save in each game without using the save and load state?