First, Download the latest Roster update then extract it.
To Extract a file: Right click the file and select "Extract"
(If you can't see any "Extract"option then you should download WinRar)

Copy the Roster.ROS file after extracting then navigate to AppData

Start > Run > Type : %appdata%
then find 2K Sports\NBA 2K12\Saves , overwrite all the files.
 (Click to enlarge the image)

or you can just simply go to:

XP users: C:\Documents and Settings\[your user name]\Application Data\2K Sports\NBA 2K12\Saves
Windows 7 & Vista: C:\Users\[your user name]\AppData\Roaming\2K Sports\NBA 2K12\Saves

Then open the game NBA 2K12 and load the roster

Video Tutorial