I had similar problem, but solution is very easy
Put your save data from ME 2 to this location
C:\Users\XXX\Documents\BioWare\Mass Effect 2
You have to create Mass Effect 2 pholder and put there saves from ME2, if you put them into Mass Effect 3 - the game will see your character but you won't be able to load any data from it.
Putting saves to ME 2 will make everything clear.
Wasn't aware of this bug, I have it on that folder and everything worked properly.
Lol @ the PS3 Comment.
A patch is incoming to fix this issue, amongst others. Not sure of an exact release but if it's not out already, it'll be in the next couple of weeks.
So they've said, Might be out already... at least that's what the change log said.
[Edited by Lizml86, 4/7/2012 12:14:56 PM]