There is 2 possible answer: - you still are in HLE mode. - you don't have any space where savestate are stored... By default if FpseCE can't find a bios file , then it switch automatically into HLE mode, and like it's written everyhere, even in the mail you received with your registred version, BIOS...
For games with Audio track like Ridge Racer and Ridge Racer Revolution, you need an ISO with a Cue file well described, then you need to compress your image with PocketISO, it will tell you it found Audio Track and will select them for compression to MP3. Use the compressed image to get Music in game.