According to the wikipedia
In order for the saved file to be recognized in Mass Effect 2, the player has to wait until the end of the credits in Mass Effect so that an autosave file may be created with the completed game data. Each save file is viewable by the player when deciding which to import into Mass Effect 2, and a summary of some of the key decisions made during that game is shown to help the player make sure the right save file is imported.
Did you wait for the credits to finish the second time you played?
I found another site ***Here***
All you have to do is click on configuration from the game's startup menu, then click on 'save games' in the upper left.
then find the "save" folder then save and exit start up the game and you're set.
Does the game use a different save folder for a replay, and if it does, did you browse to the right folder?