the correct way to save it on the sd card is to put in folders in the order
\private\wii\title\GAME\data.bin (the GAME represents the game code)
to find the game code use
1st letter = System (R = Wii) (N = N64)
2nd letter = Game Name (Z for Zelda)
3rd letter = Game Name (D for Zelda)
4th letter = Region Identifier \ Language(E = English \ North America)
or there is a game list of codes if you are too lazy
http://www.wiisave.com/gamecodes/(you must add the region letter at the end i think)
than once you have saved the file into the folders and than onto the sd card, place sd in the wii, go to options from the wii menu, data managment, Wii, than erase the old data from the wii and copy the data from the SD to the wii