Anyone having issues with Delta Warp, this is a known issue with the ROM. It should be an 8MBit (1MB) ROM, but the dumps on the net are 4MBit (512KB) which causes the save game to fail.
A simple fix is to copy the ROM image onto the end of itself to create a file twice as large with the DOS copy command:
copy /b dwarp.ngc+dwarp.ngc dwarp_fixed.ngc
(Adjust the filenames to match your ROM image)