Okay. Downloaded a file myself so I can see what you've got.

First of all, make sure you have a save file for the appropriate region. A save file for one region likely won't work for another. The folder will start with ULUS for North America, ULES for Europe, or ULJM for Japan.

Find your own Dissidia save folder already on your PSP. It will be under PSP/SAVEDATA I think. It will be named something like ULUS10437GameData00 (the 00 signifies the slot, with 00 being the first slot, 01 being the second slot, and so on).

The save file you got from the internet will be in a .zip. Open the .zip, and there will be a folder with a similar name as your own save file. The only thing that should be different from yours is the two digits after GameData, however even that may be the same. If it is, rename it to a different number if you wish to keep your old save as well.

Move the folder you downloaded from the internet underneath your own save folder.

You're good to go!