I'm assuming your the guy I've been PM'ing... but I'll write it up here... with some other things to try:

First of all make sure you weren't log in as root for ANY of the process other than installing wget and libsdl. Ensure the first run ./mupen64plus worked fine. Delete the symlink by going sudo rm /usr/sbin/mupen64plus and try again.

Try and run with the full path.. so in terminal:
/home/user/.mupen64plus/mupen64plus /home/user/MyDocs/Mario.n64

Be sure to use the Tab button as much as possible.. to ensure it isn't a spelling error.

If all else fails... paste the exact output of the emulator here. (Hint: 'mupen64plus Mario.n64 > temp.txt' and copy temp.txt to pastebin.com or something.)

I actually haven't looked that far in to it. There is save states available, but I'm not sure if they are enabled by default. You should be able to enable Memory Pack and have it work to save like a regular n64 game.. but I can't speak from experience.

If you want to try open up the blight_input.conf and add a key for Mempack switch to enable it. Also for save states there is a key you can set inside mupen64plus.conf... but I've not looked in to this at ALL