During game play, you can save game state (status) and then to load it later. My Nes allows to save game state to different 10 slots, numbered 0 - 9 for each game. State files will be saved in the State Saves folder which can be changed in the Paths settings.
You can save state as file(s) and load them later any time, go to State>Save State As (CTRL+F6) to save game state to file. Go to State>Load State As (CTRL+F9) to load game state from file.