Save states are not saving

[penglo]

Recently downloaded PCSX2 and my save states are automatically deleted as soon as I close and reopen PCSX2 :/
Also, the character in the game I'm playing won't run, he just walks very slowly (Game is KH1 FM). Maybe I'm supposed to increase the controller sensitivity idk, but I don't see the point in fixing that since my save states aren't even working. 

Thanks to anyone willing to help! 

[CK1]

In order to help you further with your problem, please make sure the following are all provided.

• Your hardware specs - CPU, Graphics Card, Memory, Operating System.
  
• The version of PCSX2 you are using.
  
• Any non default settings you are using, such as speed hacks or presets.
  
• Your GSdx graphics settings (a picture of the settings dialog is preferred)
  
• What games you are trying to play and if you are playing them from ISO or DVD.
  

Thank You.