Did you make sure you have all the files?
Except in Dark Queen of Krynn, game state and characters are saved separately. You need both the SAVGAM(letter) file and all the CHRDAT(letter)(number) files corresponding to that save. (There are generally two files for each character; make sure you copy them both!) In Dark Queen of Krynn there is just the SAVGAM(letter).DAT file and no separate character files for partied characters.
For instance, if it's save A and you have 6 characters, there should be a SAVGAMA file and CHRDATA1 through CHRDATA6 files. If it's save D and you only have 4 characters then there would be a SAVGAMD and CHRDATD1 through CHRDATD4 files.
The specific file extensions can vary depending on the game, which is why I have not mentioned them. Files with part or all of a character name, rather than starting with CHRDAT, correspond to character records for unpartied characters; they aren't tied to any of your save games.
Finally, if the game features a Vault with item storage (every game except for POR, COTAB, and COK), there will also be a VAULT(letter) file - make sure you copy this too or your vault will have been robbed by the data goblins :)