Use the same file extension name as the ones being seen by the emulator. Afaik .nes and .rom are picked up but I'm at work so not sure off the top of my head.
Save states aren't supported at the moment. Initial integration was started but due to bugs is on the backburner, which brings me to my next point:
Things are pretty busy for me at the moment which is why there hasn't been a proper new release in some time. Between personal life issues and stress from work it's been difficult to find any time at all to work on this, and with the miniscule amount of free time I do come across I've been trying to take care of my health (dropped to 125 lbs. from working so hard I've been forgetting to eat...I'm 5'9" to put it into perspective).
Once my plans start working out on how to get my life reorganized I plan on ditching LaiNES as the core port of the emulator as there's just too many memory leaks and issues to track down. Apart from that I've been pretty demotivated to work on it due to the nature of many users both here and elsewhere who seem to think I owe them anything at all and their self-centered attitudes. It's one thing to report a bug, a whole other to DM directly calling my code shit (which has happened on here, reddit, etc.). I'm no stranger to criticism but I've never seen the animosity included alongside it with such odd intensity.
I had been hemming and hawing about this for some time now, but I've decided instead to begin replacing it with a proper FCEUX port instead since not only is it far more stable but also supports a much wider array of games. The reason LaiNES (the original version) was abandoned seem to be the same problems I'm running into now: because of the abnormal and often times unnecessarily arbitrary way of writing large portions of it, debugging and finding memory leaks is layers of redirections and headaches and not worth it in the end.
So a port of FCEUX proper will be on its way. Can't say how long it will take but that's what is to be expected now instead of more bugfixes on the current project.