Valkyria Chronicles II

[TheDax]

This game only asks you to continue without loading if you select no when it prompts you with:

The Game Wrote:At least 672 KB of space is required to create save data. Create save data?

I suppose it also might ask to continue without loading if for some reason you're using PPSSPP from a directory you don't normally have permissions to write in(Program Files on Windows Vista/7/8), meaning it couldn't create its data.

If the above scenario isn't the case, you should answer Yes to "Create save data?".

Hope this helps. You didn't mention any other details like OS, so it's hard to say what it could be.