Are you playing on the or using the PPSSPP emulator ?
Connect your PSP via USB or insert your Memory Stick into a card reader. nfs+mw+psp+save+data+link
Before downloading, ensure you get the save file for the correct version of the game, as they are not compatible with each other: Are you playing on the or using the PPSSPP emulator
Open the PSP drive on your computer. Navigate to the PSP folder, then open the SAVEDATA folder. (Path: Memory Stick -> PSP -> SAVEDATA ). nfs+mw+psp+save+data+link
What is your device running (Windows, Android, iOS)? Do you know the region version of your game (US or Europe)?
Even with the correct link, users often face errors. Here is the fix.