Can't Find/Load Saved Game Files

I’ve been playing Link’s Awakening on the Visual Gameboy Advance emulator and I have no problem finding and loading my save files while I’m in the game, but as soon as I close it, trying to find the intended save file I wish to load and one that works, is near impossible. I did it once, now whether the file ext is SAV or SGM, it tells me they aren’t compatible ROM files. Haaaaalp!