There's a nifty and useful faq here that should do the trick.
I've followed these steps on my DexDrive saves and it's worked perfectly.
If you have a different save file format from what's in the FAQ, then just find a PSX Save Game Converter. It's not too tough to find via Google. But if you can find the same thing you downloaded in DexDrive format, that'll make things a little easier for ya.
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