The save data is stored inside the EZ Flash. While you're using the same game you should be able to save, no matter what loader you use. When you load another game the loader matters (as it needs to backup your save data and load the new game's save data), but I don't think that the problem is in your loader.

Try not loading new games, just load one game using GBA Exploader, then boot it and try to save, then turn off your DS, and boot the game again without using GBA Exploader (just plug the EZ into slot2 and no card in slot1). If you can't save at all then the battery inside your EZ may be dead, the save data goes into internal SRAM that needs battery to work. Change the battery.

Take a look at this guide

This post has been edited by sarkwalvein, Fri, August 24th, 2012 at 21:24

i tried it playing with "Play GBA game" just like you told me it still didn't work. I think you maybe right about batteries..

I replaced the battery with a new one today and i still didn't work