Help me Please with copying save to memory stick duo?

How do I copy my downloaded game save over to my memory stick duo? I'm really bad with computers and I can't even find where my memory stick files are once i'v plugged it in. When I plug it in all that it asks is if I wanna do a bunch of stuff with pictures. I know where the save game I downloaded is though... Please help it would be greatly appreciated. I'm also very new to this site.
Thanks!

Goto the gamesaves and press triangle on the save you want and hit copy it should let you choose which device to copy it too. Same gamesaves are copy protected so you will not be able to copy them.