fufufu, I find out what's the problem. When you set slot 1 and slot 2 using the same memory card. You must save in both slots, or nothing will be saved after you quit. So it's better to set two different memory cards in those two slots.
The problem here is that if you use savestates, it saves to a different memory card specific to that savestate. so you may have a normal mem card setup, but once you use a save state it starts using temp.000 and temp.001. so in order to get your saves normally you need to change the extension to *.mcr and then point Epsxe to it. that should do the trick, you can also restart after saving and using savestates, then you can load the game fine 'cuase the emulator is looking at the temp mem cards. hope this helps.