Instructions
Plug the USB Memory Stick into an available USB slot on the front of the PlayStation 3. You can do this while the game system is powered on.
Navigate with the direction pad or joystick to the "Game" section of the XMB Home menu, and then press the "Triangle" button on the game controller.
Highlight "USB Device" and press the "Triangle" button on your game controller.
Highlight the "Display All" option, and then press "X" on the game controller.
Scroll to the game file you want to play, and then press "X" on the controller to play it.