QUOTE(guybird @ Sep 20 2006, 11:18 PM)

Just launching through XBMC. Not using any scripts or anything fancy.

Don't know of anything "unusual" I'm doing. Sigh
Is there anything on your X,Y,Z partitions or your E:\Cache folder? If so, delete whatever is there. Also delete the save through the XBOX save game manager.
Delete or rename your E:\ZsnexBox so a new one is created. Don't launch the default.xbe from where it is. Put it somewhere else (like E:\ZSNESTEST) because there may be some elusive bug in path reading.
Put a few ROMS in the roms folder. Try it through Unleashx at 480p and don't edit the path.ini. Don't use any previews. Don't use any of the rumbles I included. Make a rumble from scratch. Don't turn the cheat on that you use as the source of the rumble, don't use any other cheats, and don't change any of the default settings. Also, don't use Super mario Kart for this test. Use something simpler like Castlevania and make a rumble for losing energy.
Now, as soon as you create the rumble, exit the rumble menu. That's when it saves. Go back into the rumble menu. Is it still there? If it is, exit the emulator completely and see if it is still there the next time you start. This is about as atomic as it gets, so I'd like to know if it works this way.
If it all fails in this way, repeat the above except change the savepartition to F and then to G. That's about all I can think of to test this. If it works in the above scenario you can start slowly adding a peice back at a time to figure out exactly what the problem is.