I'll guide you through the procedure. Also I believe this is your first post, if so welcome to the forums ^.^
Now, the part of memory that creates natural saves (those like the real machine does) are represented by emulators by a file with the .srm extension (my guess is, an acronym for SaveRaM).
Its a small file, usually no more than 8 kb big. What you have to do is select this file, copy it, then paste it on your BSNES's directory. Load the game normally from there. Try to save as close as you were from where the state was originally saved.
Let us know if that solved your issues.
Edit: To clarify further - Zsnes has problems loading the save RAM, but not saving it. So load a state close to Minna, save the game there (normally), and then put the SRM in your BSnes directory. I don't know for certain, but upon trying to change both Zsnes and Snes9X savestates to BSNES format, none loaded, so they may not be entirely compatible.
Lastly, you can also try SnesGT if you wish for something a little more lightweight but also accurate (I personally played through the game using it without problems) but keep in mind you will also need the SRM from Zsnes to continue there, since save states aren't compatible.
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