Hello El Barto,
Assuming you've got a blank, formatted ADF, then when the game asks for your save game disk:
1. Press F12, and click on the Floppy tab
2. You may need to press the 'Eject' button next to the DF0: box, and return to the emulation. Wait a couple of seconds, then press F12 and go back to the floppy tab (I don't need to do this)
3. Change the disk in DF0: to your save game disk, and return to the emulation
4. Save your game
5. When asked to re-insert the Pirates! disk, follow step 1 and possibly step 2
6. Change the disk in DF0: back to the Pirates! disk you had in before, and return to the emulation and enjoy!
If you don't have a formatted ADF, then you can download one at Back To The Roots ( http://www.back2roots.org
), or if you have a Workbench disk or AIAB, you can format one yourself.
Hope this helps!