PPSSPP missing a 'memory card'?

[ePilgrim]

Apparently the PPSSPP doesn't have a 'storage medium'?

So basically I'm trying to play Digimon World Re:Digitize Decode on my PC as a test run before they release the full translated version (from Japanese into English). The game appears to work perfectly fine but it would seem like it wants me to choose a memory card or something before I can even start playing it. Do I have to create a folder or tinker with something to make the PPSSPP think I have a memory card, or at least, some where to save? Or am I just screwed because of current issues with PPSSPP? The bottom line is that it won't allow me to create a new legitimate save and therefore I cannot progress through this section of the game. I'm a little bewildered with the fact that there are no visible settings for memory. The only thing close were the settings under the title of 'Emulation'.

Here is a screenshot of the in game error that won't allow me to progress further into the game. Yes, I am aware it's Japanese. That is not the issue and nor is the game. I'm wondering if I have to *do something* to set up a proper saving-system or something. Feel free to translate it though!

Got it translated...

The first attachment translates to:
"Save data not found
A storage medium with more than 365KB of available space is needed to store save data"

The second attachment translates to:
"Start game as-is? [presumably without save data]
Yes / No"

First, I load up the game... then the first attachment appears on the screen after it attempts to load. After that, the second attachment appears as the next prompt. Selecting either yes or no makes no difference and the game doesn't continue on from this point.

What is the issue here?

---

I just need to bump this up before bed... This issue has completed halted me and I have no idea what to do anymore. I've been hard at it trying to resolve this issue for 4 hours now.