it's basically people who save their game on their memory card.. and then upload it on the PC so others can download it to their own memory card and play that saved level.
for emulators they would probably already have them in the save file and all you would need to do is load the game. But i didn't know you could put game saves from a system onto a computer. hm.
If you have a PSP or a Memory Stick Dou reader you could probably get in to the Memory Stick Duo's game saves and copy those onto your comp in readiness for upload . . . not sure with anything else though.