First time user >.< any help is appreciated.
I think it's partially a good thing that there are no save states for the DS emulation. It helps to discourage cheating.For DS games your only option is to create an ingame save (the way you would normally save on a DS...for which you first have to do what speyeker said). Save states are not supported yet.
For GBA games you can either save ingame (for GBA savetypes are automatically selected so no need to set it yourself) or use create a save state. No$gba was originally a GBA emulator which is why savestates work for GBA games, DS emulation is only a recent development.
http://releases.pocketheaven.com/Search around these forums (particularly in the compatibility topics) to find the savetypes for specific games.