Alright.
First of all, the save files are already in your computer, correct?
The file extension for your save file might be ".mc", but you're going to want the extension to be ".mcr"
If you've been playing on EPSXE, then the save files are already in .mcr, and youre set.
Otherwise, you need to convert the .mc save files to .mcr using this program.
PSXGameEdit / PSXGE - PSX Game Save editing utility...
The program is called PSGameEdit, and converts your memory card save files to .mcr. But I never needed to use it, so youre on your own with that one
After you've got your .mcr save file, you need to download CWCheats, which not only enables cheats to use with your psp games, but it can also transfer save files from your pc to your psp, and vice versa. Heres a link...
CWCHEATS, PSP, Cheat, Tips - 533 GAMES and 7309 CHEATS on DB
And heres a guide on how to use CWCheats to transfer your save files to your PSP.
PSX on PSP - Memory Card Handling - TheGamersPress
So if your save files are already in mcr, you can just skip down to the Installing CWCHEATS section.
You also have to know the ID of the game you want to transfer. Although the guide gives you a link to some Sony site with a bunch of IDs, I prefer this one, because it's much cleaner and runs faster on the comp
PSX on PSP - Memory Card Handling - TheGamersPress
Now a few things can be a bit confusing in that guide, so I'll leave you with a few tips..
1. When the guide talks about how you need to make the name of the save file identical to the ID of the game, just go to the ID site i gave you, and copy and paste it as the name of the save file. But make one change... change the dash into an underscore ( _ ), just like in the guide. Then, you actually have to manually add "-0" to the filename, after the 5 numbers of the ID.
2. THIS IS WHAT SCREWED ME OVER and maed me waste like an hour of my life... lol
You have to load the CWCHeats menu and select "load save" BEFORE you access the load screen in the game. Otherwise, even if you load from the memory stick, and it says OK!!, the files will still not show up. For example, in FF7, you have to enter the CWCheats screen while ur still at the intro of the game, or else the files will not show up...
3. If, in the CWCheats menu, you select "load memory ccard from memory stick" and it says something like "error" or "unable to load" or something like that, then you did something wrong obviously. It has to say "OK!!", and then you kow it worked. If not, you probably messed up the filename. Check it, and try again.
4. if you have popsloader, which you probably do, you may notice that you have to download CWCheats, which is in the folder "seplugins", and popsloader is also located in a folder called "seplguins" (Same name) Also, they both have to be in the root of your psp. So go into the popsloader seplugins folder, copy everything, and paste it into the CWCheats seplugins folder. Now, its going overwrite like two files. You need one of those file sfor CWCheats to work...
so go into the folder, open up pops.txt, there should be one line. Add this line to the file and save it.
ms0:/seplugins/cwcheat/cwcheatpops.prx
Well thats all... long post sorry...
If you have any questions go ahead and ask. I suck at explaining things so I know its a bit confusing but hey at least I helped right?

Good luck