this is message from save states. Unfortunately current save state implementation can’t load states across exeutables. It’s rare situation, to bring more light – in the ancient times did developers strange things. For example, you start game, but it can run first in background INTRO.EXE, at the end game quits INTRO.EXE and starts GAME.EXE. If you do save state in GAME.EXE and try load it during INTRO.EXE then you see this message.
Sometimes they did same things for level ups. The same happens in Alien Carnage.
Unfortunately, with current implementation you must first load game with normal game save system what brings you to correct EXE file and then you can load state.