A file with the extension .SGM is essentailly a file containing details of a 'saved game position' for games used by the emulation program 'Visual Boy Advance'.

Visual Boy Advance is a 'Nintendo Gameboy' emulator that supports Zipped (archived) roms, allowing users to download and play games without the need to unzip them first.

.SGM files are created when you save through the emulator (by pressing shift+f1, or file->save).