Put savestates in the states folder (or wherever Kega stores savestates) and then use either File --> Load State As... or File --> Load State. If you are using Load State, then the save state has to be named the same as the ROM file. Native saves are loaded in-game. The save file needs to be named the same as the rom and placed in the SRAM folder. You know, this is explained in Kega's Readme file as well, if I'm not mistaken.