Newbie! Can you somehow save on actual save slots in PPSSPP?

[ryanhurrr]

So is there a way to actually save a game in some sort of file? I just finished Phantasy Star Portable 2 and after finishing the story mode the game requires you to save. if u don't then you have to start all over from your last save point, and since i have been using save states only, i have nothing in my actual game slots. Every time it asks you to save, when you try it it says "Storage media used to launch the game has been removed. please insert original storage media if you with to save."

Which means i can't even play the game anymore or unlock the side story missions. Can anyone help me on this? I made a save state right where it asks you to save, so if there's a way, than i can do it.