1) save in game as normal
2) hold (L+R) to enter menu and choose the save option (even if it appears to do nothing)
3) press 'b' to exit and get back to the game, then hold (L+R+Select+A), a black screen will pop up asking if you want to save to the mem card.. choose yes.
note you need a appropiately named save file in the same directory as the rom .... there is a standard 64k save file in the client software instalation directory, copy that and rename it...example,
for "nesrom.nes" the save file must be called "nesrom.sav"