Quite old question, but I guess I have the same and can explain a bit more in detail.

The current state of a game is usually saved on a battery in the cartridge.

For example:
Mario Kart - after you have won a GP, you have a trophy next to the race, any time you start the game.
With the Emulator, you always need to remember to save the state manually and load it when you boot up the game again.

Isn't there way to automatically emulate the battery system from the cartridges?