ff7 and memcards

Hi. I'm playing FF7 on ePSXe 1.6.0 from an ISO I've downloaded, because I don't have a TV at school. This question is probably pretty stupid, which is perhaps why I haven't seen it addressed anywhere else (please redirect me if I'm mistaken).

When I try to save my game, it waits for a second, says it's found a memory card, and I save on it. When I go to Run>Reset to reset the game, the "Continue?" option is grey for a few seconds, then turns white, and I can restart my game where I saved it. I think that much is good.

I don't know where the game is actually saved though; I never created a memory card or any of that. I tried using ePSXeCutor, but when I said "Create," but it didn't do anything.

If I go so far as to close the window, the "memory card" (whatever it is, wherever it is) doesn't have my game anymore, so I haven't done that recently.

I also don't understand how to use save states. I don't see any new files anywhere when I try to create one, and when I try to load one, nothing happens.

I'm getting near the end of the Disc 1 ISO, though, so I think I'm going to need to save my game at some point and re-open it from the other ISO. Does anyone know where my games are saved to, and how I can switch "discs"? How do memcards and save states work?

Thanks!