Super Mario Sunshine Save Issue

[Chess]

I literally just started emulating all of 10 minutes ago, and upon opening Super Mario Sunshine, am prompted with the option to format my hard drive in order to save. I don't really want to do this, there's another way to save (or so I assume), and I just don't know it.

Do i need to mess around with some settings in Dolphin first? Or does the game say it'll format stuff, but it just makes a folder somewhere?

[ExtremeDude2]

It isn't asking you to format your HDD, it wants you to format your mem card which should be fine as long as you don't have any other saves.