And that's the problem right there. You see, the game needs a savegame of 1 mb otherwise weird things like the stuff like you described will happen. The R4 kernel only supports 512 kb save files so you'll experience some difficulties with games like this one. Go to the R4 forum and check the R4YsAuto and YSMenu sticky because YSMenu does support 1mb savefiles if you manually add a few files that are mentioned in the R4YSAuto sticky. Make sure you read through the ENTIRE first post so you won't miss anything.
And another thing: If you're gonna use YSMenu, do NOT upload a pre-packed version of it, otherwise you'll piss of the creator Yasu. He doesn't like seeing his hard work floating around the web so if he finds it, he'll likely stop working on it and would mean the end of the R4.