yeah it shouldn't be like that and you might have a problem. wait for a couple other people to troubleshoot with you and cover common mistakes.
Just out of curiosity, youre not exiting from the game to the Supercard menu, going to the "Saver" menu, selecting the game you just played, and answering Yes to the question "Do you save to SD?" (or whatever it says) --- that would be a no-no if youre doing that.