I'd think that means that you're trying to open a save that you downloaded in a clean folder where you haven't saved a game of your own yet.
Try a new game, and make a game save the first chance you get. This will create a save file AND the necessary config.rpgsave file. Than you should be able to open any save files you downloaded. The save you create MAY write over your downloaded save, but you can replace the save file you just made with the downloaded file.