If you don't have a completed save file or want to avoid the 100-mission grind, you can input these button sequences at the Title Screen (where it says "Press Start"). Feature to Unlock Button Sequence All Characters Multiplayer (4-Player) (Press Circle 10 times) Free Selection (Story) Same Character Select
If you don't want to mess with file transfers, Urban Reign has legendary "title screen" cheats that act as a temporary 100% save. To make these permanent, enter them at the title screen and then immediately. How to Import Save Files on PCSX2 - Full Guide urban reign save data
Urban Reign does not save mid-mission. If you turn off your console during a fight, you will restart the chapter. The save data only records completion between chapters. If you don't have a completed save file
If you use the PCSX2 core in RetroArch, your save data is stored in the saves directory. You can sync this folder with Google Drive or Dropbox for automatic cloud backups. How to Import Save Files on PCSX2 -
Each profile requires approximately 119 KB of free space on a standard 8MB PlayStation 2 Memory Card.