That's because PJ64 can't load a game based solely on a "save" file of a game. You will have to have actual "roms" to load the game (usually ending in .rom, .v64, .n64 and even .z64 extensions) and point PJ64 to the folder they are in (I'd recommend keeping your roms in the PJ64 emulator folder, and make a "Roms" subfolder so you can easily access the games) and load the GAME through PJ64's browser window after starting the emulator.
Then, if your save file is named correctly (ie: Zelda OoT.rom likes it's save file to be named similarly as Zelda OoT.sra) or its header matches with the original rom you saved to, PJ64 will allow you to use the save game correctly when you load the game normally.
SOME games do NOT have built in saves in their "cartridges" and will not save without having to create a "memory pack" file and have the game saved there. I do not use the memory pack games (I only play the Zelda titles, and Golden Eye) so I can't tell you how to make one that will work correctly.
But if all you have are the save files for a game, you won't be able to play the game(s) you want to play. You need rom images.