What operating system???
If your OS is WinXP, then you may need to change the "permissions" for the file(s)... Also, your game save file(s) may be in a wrong directory (e.g. Shared Documents\NFSU2\Profile)
You may be missing some files (like a *.ini file which has the info required for the game to access the game saves)... These files are normally located in the "Profile's" directory