Some downloaded saves contain homebrew “installers” that can brick your PSP. Always scan .DAT files with a virus scanner. Never run an EBOOT.PBP that comes inside a save folder unless you are 100% sure it is a legitimate game update.
Do you have a specific game save you’re looking for? Check the comment section on GameFAQs or the r/PSP subreddit for dedicated save sharing threads. download save data psp