you need to change the save state first. I had this problem at first using it as well. Just touch the touch screen then scroll down to "Save State". By default its set to "none" for some reason just change it to anything by scrolling across when its highlighted and then try again. Should work and once you've done it once you wont have to do it again, at least not for that game, i've only ever played one game, so dont know if you have to repeat it for each game.
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