Red Alert is a password save game. Retaliation used the memory card on the original playstation.
The Retaliation board is more active, so you'll likely get more discussion there about it.
For Red Alert, assuming the PSN version's like the original, just write down the password after the missions, and re-enter them whenever you wish to continue from that point. --- Where logic won't work - I will Pal Gamers unite - http://www.gamefaqs.com/boards/gentopic.php?board=277