Unlike most PlayStation 1 titles, WWF SmackDown! 2: Know Your Role stores save data directly on the game disc. That means no hunting for a Memory Card, no corrupt saves from worn contacts, and no "Insert Memory Card" prompts. Just pop the disc in and play.
The game uses a proprietary save mechanism baked into the disc's writable sector—a feature used by a handful of late-era PS1 titles (like Gran Turismo 2 and some Tony Hawk games). Your progress, created wrestlers, and unlocked content persist on the disc itself.
It's a quirky, convenient design choice from the pre-hard-drive era. Enjoy the freedom—just treat that disc like gold.