If you tell me your OS (Windows/macOS/Linux), whether you’re using the GameCube or Wii version, and the save file format you downloaded (.gci/.raw/.sav/folder), I can give exact file paths and step-by-step commands.
Dolphin will automatically place the files in the correct internal directory (usually Wii/title/00010000/... ). Troubleshooting Tips Tutorial - How to use downloaded savegame.sav files | download hot save data resident evil 4 dolphin emulator