Settings to remove this issue?

[Asylum]

You don't use actual memcards like the PS2 does, PCSX2 uses virtual memcards, which are just files on your HDD.

I understand, but I don't know where to get the files, though I have had no problems with saving normally on the emulator itself

[refraction]

You don't get the memorycard files, the emulator comes with 2 blank ones for you. if you need to make others/more you can do so in the Config->Memcards screen