How to get the Memory card working on PS1??

Hi there,
I've got the Sony PSone I got this package from Argos which is PS1, 4MB Memory card, and a extra controller now the thing is I can play games on it, but I can't get the Memory card working.
I put the Memory card in before I switch it on, when I'm playing the game and want to save it I get this message "NO DUKE NUKEM FILE FOUND ON THE MEMORY CARD IN MEMORY CARD SLOT 1" when I put the card in there's a number 1 showing on the display, I have to explain I'm new at this kind of thing. Any advice will be welcome.