For PSP emulators (PPSSPP), the save data is usually in memstick/PSP/SAVEDATA/ within the emulator’s directory. Regular backups prevent data loss from memory card corruption or accidental deletion.
Many users seek "Option Files" (OF) which are pre-configured save datas created by the community to bypass licensing restrictions: Save Data PES 2014 PSP Full License pes 2014 save data psp