Since physical PS2 memory cards are rare now, most people use the PCSX2 emulator. Here is the step-by-step guide to applying your downloaded save.
If you still have a working PS2, you need a homebrew tool called CodeBreaker or uLaunchELF.
Early PS3 models (20GB/60GB) that play PS2 discs can also accept save files.
Boot up Ultimate Ninja 5. The save should appear instantly. Load it up, and check the character select screen. If everything is unlocked, you are ready to go.
This is the most common mistake players make. Save files are region-locked.
Always ensure your save game matches your ROM or disc exactly. If you try to load a Japanese save on a US copy, the game will either crash or display "Corrupted Data."