Just use savestates. You only really need to save after(or before) every boss in MGS. While you are playing F1 makes a save, F3 loads a save, and F2 increases the slot that your saving/loading. There are 5 possible slots to save in per CD/ISO. Also epsxe knows to use only the saves that go with the game being played.
well, first of all what version of EPSXE r u using? the 1..01 thing work very well with MGS withouth *crashing points* but the mdecs r a bit slowly... well try with that version, and use any memory card, or create one with one of the Aldo's Tools then when u r in game contact meiling to save, save the game and then press start to pause the game and that's all the game is saved! then unpause the game and continue normal... if u want to check press at-tab and open the aldo tool for psx memcard managment and load the card that u save, the game will be masked like MGS HANGAR 01 or something like that in the gamecard.
Oh right. the info I gave you was to be used assuming you were using epsxe 1.40. I loaned my MGS to a friend so I don't know if it works well in 1.40 It seems like it does from other posts I've read though. It deffinitely has problems in 1.20.