Save states are screwy. There are multiple save state slots you can use. By pressing... well... I have no idea how many there are, but anyway, saving your state when running the game will save it on slot 1, but pressing, say, 2 THEN saving will save on slot 2, then you'll have multiple save states. Using that usually prevents corrupt states, and switching numbers every now and then helps. And saving multiple times in a row usually prevents corrupt saves, too.
Keep in mind that when loading one, it always defaults to loading on slot 1, so you'd have to press 2 (if it's slot 2 that you're using, I usually use 1 through 5) then load the state if you want to load your other state.
