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1/ Always use memcards as main way to save your pgrogress. Savestates should only be used as an extra features for skipping boring/already seen cutscenes, manual checkpoints, etc
2/ FF9 is indeed copyprotected, if you want to play it on an emu that doesn't support any kind of subchannel reading (SBI is one of them), you must patch your game image files with a PPF patch. You'll have to find one that match your version of the game (since FF are localized in many languages, your must be for PAL Italian version), apply it to each CD and you'll be able to run it.
PPF often offers to select between PAL and NTSC, if your PC is good enough to fun it at full speed, I recommend the latter as it will be running at 60fps (European version run at 50fps so even on a real psx, it's slower because they didn't resync the game speed for PAL countries).
The bad news is that I can't link you to the only site I know with PPFs for download (PPF aren't illegal, but some other things on it are). The good one is that they're not hard to find on google.
Update: Sorry I didn't see you tried PPFing the 1st time I read, but you should really check if you did it correctly, with the right version and all...
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