Unfortunatley some emulators don't support the battery pack of the game. Whenever I play on my emulator, I always save in the game itself, then save the state of the game with the emulator. This way I always know that I will be able to get back to my game. If you load your game and it doesn't show any saved games, then chances are that your emulator didn't use the battery saves that the game has. You'll need to save via a save state in the future.