How do I do a NG+?

So I’ve finished playing Metal Gear Solid for Playstation (PSX) and I now want to play it again on my last save file. I’ve saved on the game itself (codec save), pressed the save button on the bottom left of the screen and downloaded my save state on the correct file format. However, when I change back to disc 1 and upload my save state file it says ‘loading’ but never actually starts. Is there a way to do this?