I've looked into that as well, and there's not really anything to do it. The way emulators do it is not by changing the state of the game, but of the entire system, which would include the OS.
Your best bet is a VM with a state feature, like Microsoft Virtual PC or VMware. Yes, their state feature takes like 5-15 minutes to load and save, so it's not really usable for gaming like in emulators.
The best bet for getting past a part is a combination of speedhacks and memory editing. The guide doesn't cover speedhacks but in Cheat Engine you just check the speedhack box and then adjust the slider to change the game speed.