With most cartridge based consoles with "hard save" features (gameboy, snes, genesis, etc) the save data is stored on the cartridge in a separate chip from the chip(s) that actually holds the games data. In the case of emulators, generally they write the save data in a file separate from the actual ROM file, specified as an SRAM type file, which the emulator can read later when the ROM calls for it (loading save data for example).
I'm not familiar with the particular emulator you've specified in the subject (I'm assuming gameboy?), but I'm 99% certain it works the same way, and is storing your hard saves in separate files, most likely something like .srm or .sav. You should be able to just use a games built-in save functionality (if the game originally had that function of course) rather than save states if you so choose.
"I think that the problem with this video is it is highly derivative of many popular bands within the genre. Although when viewed on its own merits, it does have a deeper groove. However what it has in groove, it lacks in originality. One can't help but be reminded of such bands as Pearl Jam, White Zombie, Suicidal Tendencies and other bands that bear the mantle of so called "Alternative Rock". One is even reminded of Lorie Anderson when she wore curlers. Hehehmhm! This video speaks less to the heart and more to the sphincter. In closing, I think Korn would do well to learn more from -"