Something is messed up but I'm not sure what- the game should have said it couldn't find a memory card and ask to continue without saving if it couldn't see a card.
I hate to say it but he may have to start over with a new game and make sure it will save that to the virtual card in slot one- unless you could copy the save file over to the card. Do you happen to have the memory card adapter and an actual PSOne memory card still kicking around?