I had the same problem when i got my action replay. Make sure there is the zipped save folder, and inside that folder is a folder called UDATA. then inside that folder is a numbered folder such as 4541000d this is game specific and should already be made, and inside that folder is a SaveImage.xbx, TitleImage.xbx, TitleMeta.xbx and another number/letter folder, (000000000000 for the 007Auf exploit save) this folder indicates the save number. and inside that should be the actual content. Action Replay doesn't check this folder so it shouldn't matter all to much what is in here. There is 1 file that does have to be in the folder though and that is a DEFAULT.XBE file. there will also be a SaveGame.xbx and a Xbsavegame.dat file. Any other files shouldn't set it off. As a Recap the directory path should look like this minus the quotation marks:
"ZippedGamesaveName/UDATA/4541000d/000000000000"
the 000000000000 folder isnt checked in the Action Replay program so it shouldn't matter as long as there is the DEFAULT.XBE and the Savegame.xbx. BTW the numbers won't be the same as above, because i used the 007AUFexploit save as the example. this should work though, if it doesn't i am unaware as to why it wouldn't