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...)
sorry, I didn't see the docs folder....... I pressed f3 during the logo screen of Xenogears, yet it doesn't load anything. I remember playnig this game on psx and there was a menu for which you can start a new game, load game. etc, but this doesn't come....
If my memory serves me correctly, the xg logo zooms in and the menu appears when i play it on my psx, so wh ydoesn't it do the same w/ epsxe