Instructions
How to Install and Memory Stick Into a PlayStation Portable
Turn off the PlayStation Portable. Open the memory-slot cover on the side of the PSP system. All models of the PSP and PSPgo feature a small slot cover on the left side of the hand-held, easily opened by pulling it with your fingernail.
Insert the Memory Stick into the memory slot on the PSP. The stick should insert easily if it is facing the correct direction. Do not force the Memory Stick. Once the Memory Stick is inserted into the slot, press the end of the stick until you feel it click into place, signifiying that it is fully inserted. Close the slot cover.
Turn on the PSP system. Highlight "Settings" from the "System Settings" menu, and press the "X" button. From the available options, select "Format Memory Stick," and press the "X" button. Confirm your selection to format the stick by highlighting "Yes" and pressing "X." The PSP will warn you that all data will be erased during the format process. Confirm that you wish to proceed by pressing the "X" button. The PSP will format the memory stick, making it ready for use with the PSP system.