If you’d prefer to play a Pokemon game on PC that doesn’t require an emulator, you’ll be happy to hear there are many options available. How To Play Pokemon Games Without An Emulator In the future, use File > Load State to open previously saved games. To save your progress whilst playing, you must click File > Save State and click an available slot. zip file and double click to open it in DeSmuME. Next, return to DeSmuME and click File > Open ROM.