Save states are CD specific, so what's happening is that because you are loading up with CD3, all savestates are stored under that CD's slot.
Try this:
Try this:
- Load up your save state in CD 4 using the long winded method.
- Save to the memory card.
- Quit out ePSXe and reload it using CD4
- Load the memcard save
- Create a new save state after loading (F1)