The radio presets are stored on the empeg's hard disk. I believe they are on the scratch partition if I recall correctly. (In other words, they are not in an easily-editable format.)

When I look at the button guide, I don't see "store radio preset" as one of the functions of the DNPP button. In fact, I don't know if there even is a single-button-method for storing a preset at all.

Instead, try using the player's main menu. I belive the option to store a preset exists in the menu structure.