Several points Flying Doc - first, try asking this in the
PCSX section of the forum - this is the pSX Emulator section.
Secondly, it depends what operating system you're using where any almost any application makes saves. In most Windows OSs, PCSX will probably save by default to a saves folder in the PCSX folder - which will be wherever you put it. In Linux, it may save, again, to a saves folder in the PCSX folder (which may be in your Home folder or elsewhere depending on whether you installed it manually or with a self-installing package) or it may save to ~/.PCSX - again depending on how you installed it.
Thirdly, why are you using PCSX, one of the oldest and longest out of development Playstation emulators? I'd recommend the emulator this section supports,
pSX Emulator, because it's much more up-to-date, it focuses on accuracy and ease of use (no plugins!), which makes it much more fun and more satisfying than the out-of-date enhancing emulators, and because it's still in active development.