Can't Find Save Data?

OK, so I downloaded Sonic Chronicles (from another site), and when I open the ROM, it shows me the error message 'Can't find Save Data'. I have an R4, btw. The same thing happens with GTA:Chinatown Wars which I DID download here.

Read the Common Issues https://www.romulation.org/forum/index.php?topic=1462.0

All ROM sites host the same files, it doesn't really matter where you downloaded it.