If you're talking about the savestate feature of ePSXe then use F1 to save, F2 to change slots, F3 to load a previously saved slot (you coud've read the epsxe_en.txt in your docs directory of epse...)
If you're talking about the memcard feature, go to the config -> options -> memcards and select a filename to save a new one or load one you may have ( it is in the docs btw...)
If you're talking about the memcard feature, go to the config -> options -> memcards and select a filename to save a new one or load one you may have ( it is in the docs btw...)