sounds like you're dragging the actual .SAV into your emulator's program, thinking that it'll open magically. i would think that the typical emulator is actually expecting a .gb rom file when the file is dragged and dropped into the window, which might explain why your emulator is coughing on the .SAV.
1) make sure that you have the LSDJ.GB file somewhere (i assume).
2) copy the .SAV file into the same folder as the LSDJ.GB file, or whatever other folder your emulator has set to look for .SAV files.
3) rename your .SAV to be the same as the name as your LSDJ.GB file. therefore, you should have an LSDJ.GB and an LSDJ.SAV
4) open the LSDJ.GB file in your emulator. what should happen is that the emulator will load the .GB file, and then use the .SAV file whose name corresponds to the LSDJ.GB.
hope that helps.