He means the very first mission.
And you have to load the game save when you start the game.
If you put it in the right spot, loaded it, and it still doesnt work, the game save might be messed up. In that case you can get a different one.
If you have version 2 that might have something to do with it too.
Games saved in version 1 only work in version 1. Games saved in version 2 only work in version 2.
Hope this helps!