You actually create a "memory card" in the system. There should be a section for it. You have to create a separate one for PS2 vs PS1 games. I'm not at home so I can't give you a step-by-step walkthrough, but somewhere in the PS3 main system menu there is a section to do it. (then you have to "insert" the memory card you create, also).

Note: it is not something you buy or download, it just sets aside a specific piece of memory as a memory card.