The files in the sgsm folder should be placed directly in Your sgsm folder
(C:\...\NBA LIVE 2007\sgsm)
So, unzip the file; put the sgsm files of the roster update you have downloaded in YOUR sgsm folder. (I.E. put all ' "filename".fsh ' in your sgsm folder).
Then, place the save file in your documents folder (C:\My documents\NBA LIVE 2007\saves\"your roster name".)
Et voila