Launch Mupen from Xell. (Turn your Xbox on with the Eject Button.) Make sure you have the Mupen files in the root of a USB Stick, as well as the ROMs you want to run. Xell will load it automatically from the USB Flash Stick..
To save on Mupen360 you have to, in first place, launch the rom that you want to play. That will create a file in the SAVE FOLDER of the Mupen with the correct name of the rom. Rename the ROM with the name as appear on the save folder, the ROM can be .zip, an voila! It will save your progress as you save in the game.