Stupid gpSP won't save my games!

Okay, I cannot get gpSP to load games that I have saved (Using games on the gpSP) I try and get the save to load but the text changes really quickly saying something like:"No savestate exists somethingsomething this slot"
I plugged my psp into my computer and one of the save files is, indeed, in the SAV folder of the gpSP...but the other game I saved, is not. Neither of them will load though...What's up with that? Do I have to do something to get it to save?
Sorry for all the questions, I'm sort of new to this stuff.
Thanks~ <3