The save file you downloaded from "the usual place" unzip it, you will find its a folder like this: "454100d" (007 agent under fire save), make a new folder called UDATA and drag the save folder into that, zip it up and call it whaterver you want then drag it into the middle section of Action Replay.
If your Action Replay software doesnt recognise the memory card/USB thumb drive, download USBView
and open it, select the USB port your thumbdrive is in and you will see lines of text on the right, you will notice 2 of them are :
Goto your Action Replay program folder, then the drivers folder "datel/Action Replay/Drivers" and you will notice a file called xbreader.inf inside that ther are lines of text like this:
Each of these lines are AR compatible memory cards, edit one of these lines to match your USB thumb drive by replacing the "VID_0EA0&PID_6803" numbers with the vendor ID and product ID of your thumbdrive (the last for digits).
Now goto your device manager on your pc and update the driver for your USB thumbdrive, choose the xbreader.inf in the AR software/drivers folder as the new driver, then when you start AR it will detect the thumbdrive (as long as you formatted it in the xbox). Then simply drag your save file to the USB thumb drive.
Hope it helps.