If you're talking about save states, they don't transfer between 3.5 and 4.0. Load the game and do an ingame save, then copy the memory card over to 4.0.
If you are talking about an ingame save, where are you copying the memory card to? 4.0 and later use a global directory located at C:\Users\[your username]\My Documents\Dolphin Emulator. Copy the memory card to the GC folder there. Or if you don't want to use the global directory, create a text file named "portable.txt" inside the 4.0 folder, and then just copy the GC folder over.
If you are talking about an ingame save, where are you copying the memory card to? 4.0 and later use a global directory located at C:\Users\[your username]\My Documents\Dolphin Emulator. Copy the memory card to the GC folder there. Or if you don't want to use the global directory, create a text file named "portable.txt" inside the 4.0 folder, and then just copy the GC folder over.