Oh, so you were running both programs at the same time, then.
...why?
AFAIK, it's not necessary to do that, since Chocobo World should save its own data regardless of whether FF8 is running or not, and you simply return the choco back to FF8 the next time you launch the game -- I mean, what's the point of launching FF8 if you're just leaving it in the background while playing a little Choco World?
Then again, I'm assuming that that's what you're doing -- if it's the other way around (choco world in background while playing FF8), isn't that equally as pointless?