Okay, first of all, commercial GBA games are not going to work on your Supercard without patching. Go to the Supercard website and download the software for your particular card. Run the GBA games through they. The patched games and corresponding *.sav files will appear in "C:\Program Files\SC\out" by default. Copy these patched roms to your card. After saving in-game, use the button combo to back up the new save to the *.sav file on your card.
With the built-in emulators, you just need to have a blank *.sav file in the same folder as the rom, named the same as the rom except with a .sav extension. Then you save in-game and then use the button combo.
If you use other non-included emulators, you'll need to figure out how to save with each of them. With NES DS for instance, after saving in-game you need to open the menu by tapping the screen and go to the "Save SRAM" option in order to back up your data. With jEnesisDS saves are automatically updated. With Lameboy you have to press X after saving in-game to make sure the *.sav file gets updated. It's dependent on the emulator really.
Also note that with DS homebrew applications, you'll most likely need to patch them with DLDI before they will be able to access the data on your SD card.