This is used for NEO-GEO games. If you have no memory cards installed already select "Create New Card" and you'll see "Card Loaded OK" its that simple. If you fill your memory card you can make another by moving the cursor left or right on "Load Selected Card" and selecting "Create New Card" again which will create another (up to 999).

The usage of memory cards is fairly automatic. To save your position in a game for instance all you need to do is die with no credits left and wait for the timer to count down. The game will automatically ask you whether you want to save your position. When you load the game in next time and add some credit it will automatically ask you whether you want to continue from your saved position.