Comments: ** Comment from web user: mikeym **
OK, I'm unable to install using SVN as CodePlex is broken for SVN clients 1.8.0+. However I downloaded the latest source available from the website pcsxr-85969.zip and built that.
I tried it and it was behaving the same as my original post but on a hunch I selected Emulator>Save state>Slot 1 and then continued the emulation then stopped and checked Emulator>Load state>Slot 1 and it was now highlighted. If the emulator has to be running to save a state then I would suggest that clicking on Save state should restart the emulator then save the sate.
As it happens this did not result in a successful save for me as the updated version of PCSXR has many bugs for me. Loading saved states breaks whatever game I am running, in this case many animations stopped and bits of the level went missing. I also experienced intermittent lockups on my system where the fans would speed up the mouse would become less / un responsive for periods of a few seconds. None of which was happening before the update.