Re: What can I do?

An easier way is to press F3 during gameplay to freeze the game and use the left/right arrows to select a different slot. It even has small screenshots to show where you were when you saved each state.

You can do multiple saves, too, in case you are unsure of what choices you're making in a game and want several back-ups. During gameplay, hit escape, pull down the first clumsy dos menu (snes9x has better menus but overall I would NOT recommend it) and select "pick state". This then opens a checklist of ten different slots for you to choose for your next save. Pick one, select "save game" and it will save it in that slot (and will continue to do so, unless you pick a different state). To go back to an old slot where you have previously saved a game, hit "pick state" again and then "load state". The quick way to save is to hit F2 at any point during game play. White text at the bottom will read "state saved" for a moment, and the game has been saved in whatever state you selected earlier, or in slot "zero" if you haven't saved any before. Zero is the default state slot, so I'd put valuable saves in other slots, in case you absentmindedly save a new game just by hitting F2. Hope this has been clear.