There are two methods:

Older PlayStation 2 save formats (used by Action Replay or CodeBreaker) do not work natively on PCSX2. You must convert them to the .ps2 format.

: Most are unlocked by beating Story Mode multiple times (e.g., Anna requires 2 clears, Heihachi requires 8).

MyMC (Windows) / MyMC GUI:

Use the button (indicated by an arrow pointing into a card) to navigate to and select your downloaded save.