AetherSX2 uses memory cards. The file you need is typically:
If your goal is to skip the grind and jump straight into Lu Bu’s Musou mode, look for "100% Clear" saves. These typically include: dynasty warriors 5 save data aethersx2
Many online saves come in formats like .max (Max Drive). These must be "injected" into a virtual memory card using a PC utility. How to import PS2 Save Files AetherSX2 - Android AetherSX2 uses memory cards