Do you even know what a .dol is? Here's what we know from your post.
You want to save.
You're playing, or trying to play Madworld.
So either you're trying to save your game, which is as easy as making it to a save/checkpoint within the game, and allowing the game to....I don't know....save?!
Or your trying to save the ISO of Madworld to your USB drive, which doesn't require, and has nothing to do with the actual loader (Coverflow? Which one?). Like pepxl said, don't bother posting for help unless you can form a legitimate question. You'd be surprised at how many people here are willing, and wanting to help those with problems, but when you make a thread like this you're only annoying those who wasted their time reading/responding to this nonsense.