FF7 will only save on a psone memory card so make sure you have one of those first.

Secondly you can only save at certain save points. They will be blue shining like icons on the screen.

A psone card will look like this:

http://www.mercadolibre.com.ar/jm/im...44668_6138.jpg

Whereas the ps2 card will look more like this:



I hope this helps.