I was playing Pokemon and when I double clicked on the screen the manu came up and I pressed "Save State" but then when I tried to load the game again, it just reset the game, please don't tell me that you can't save in big games cuz that would be a pity, I'd like to play Zelda and Metroid as well but you can't save in those ones either.
To save:
1 - Use the in game save feature (usually in a menu of some sort)
2 - Double click the game screen and select "Save State". A window will pop up asking you if you want to save.
3 - When you come back to the game, double click the game screen and select "Load State". A window will pop up and ask if you want to load the state. After the game is loaded, the window will say "Success" you can now click OK to close pop up.
4 - In the game should be your save file where you can continue.
I think you forgot step 1 Supaman89. Hope this helps.
GBA does not save. In GB and GBC, when you double click and select save all you are doing is storing the game's internal save state on the server. The internal save state has to exist and be updated before you store it to the server or it wont work right.