> 1) The high scores arent saved and the settings
> are not saved.(ie sounds, show FPS, etc) I have it installed to the Storage
> Card, does this matter?

Yes, it actually does. In order for the hi score and setting to be saved you must place HI and CGF folders in
\program files\mameboy\ folder.

You can keep everything else on the storage card.


> 3) What is the proper way to quit the emulator? I cant seem to exit it cleanly.

Just press the record button on the left side of the device.


> 4) When I put coins in using the action button a config screen comes up, if I
> press it again the game starts. Is this the right way to start it?

Yes, that's the way it is on EM-500.