try hitting the home button on your wii remote while in game play to go back to the emulator menu or the save menu... you should see where it says save game... what emulator are you playing?
I wondered why Chrono Trigger wouldn't save for abit and then I found this setting I had to change in SNES9x GX so that it would keep the save ram. Save stae is avilable from the menu but I didn't really wana use it myself