You have to copy the Suikoden II save from a PSX memory card to a PS2 memory card (via the PS2 browser) in order to import it. PSX cards can't be read by PS2 games. Then there's the usual, save must be at such-and-such time, and possibly at a particular save point. I don't recall all of that. I'm pretty sure the instructions don't mention any of the requirements, with the possible exception of the copy step, so you're pretty well left out in the dark.
If I remember correctly, it has to be in L'Renouille, just prior to the end boss fight. That's part of what makes it weird. It can't be a save from the end-game and any location because they forgot what all the event flags are or something.