Hey Jason, if you have trouble loading the save state, try the following:
Make sure you're using MAME Version 0.106
If you're using the MAME front end GUI, select the "Play Donkey Kong [US set 1]" menu option, and press function key F7 to load a save state. If you're using the "Play and Record Input..." option instead, F7 will have no effect.
If you want to load a save state AND record, you'll have to use the command line approach. I created a simple batch file that navigates to my MAME folder, and then executes this command:
mamep106-vc dkong -state e -record dk_elevators (of course, you can replace "dk_elevators" with an output filename of your own choosing)
Playback of your recorded file also requires the command line route. In my previous example, the command becomes:
mamep106-vc dkong -state e -playback dk_elevators