As far as im aware the Nintendo 64 did, they went in the controller.
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No, you must have a memory card that is compatible with the PS2 to save any kind of memory.
There is a place in the front of the wii that you can open and put it in
Yes
A capture card records audio and video game play on a console.
you can find it in your wii manual. But here are list of cards which can be inserted in wii console- 1.sd/sandisk memory card 2.mini sd card with mini sd card adapter 3.micro sd card with micro sd card adapter