In simple terms, save data refers to the information stored on your PSP console that records your progress in the game. This includes your character selections, stage completions, and any unlockables you've discovered. For Dragon Ball Z Shin Budokai 2, the save data is stored on the PSP's memory card, and it's what allows you to pick up where you left off each time you play.
In this directory, you'll find a folder with a series of numbers and letters that correspond to your save data. This folder contains your save files, which can be used to resume playing from where you left off.
/Android/data/org.ppsspp.ppsspp/files/PSP/SAVEDATA/