So I was wondering if I have to use the .exe file to run the Pcsx2 emulator everytime?
Also I would like to know how to save my configured games, controls, etc. and be able to access them again later. I have formatted and saved data on memory cards but I do not know how to re-access them.
if you formatted already your memory card then your old saves in-there will be lost it's a common sense
after formatted it's automatically ready-to-use or you said re-access then it's already accessed.
if you configured already your emulator then you close the emulator it will save automatically thru the ini folder.
File folder access restriction seems to be your problem.
Try running PCSX2 as administrator.
Install PCSX2 into a directory other than "Program Files", or any other folders that belong Windows.
(you may want to use the PCSX2 binary package rather than the installer)