Snes9x.com

this can happen if the save directory is unwritable by snes9x; this is more likely to happen if you put snes9x in Program Files. note that just because *you* have write access to a location, that doesn't mean that all programs do. try defining a save location that will definitely be writable by all...

I just came to post about this very thing which just happened to me. I had put several dozen hours into a playthrough of DQ3 for the SFC, and I can no longer load my adventure logs in the traditional way; the game always says that they are lost. Save states work fine and this wouldn't be a big deal,...