Instructions
Power on your PSP with the memory stick you want to format inserted into the system. Once it loads, press the "Home" button.
Navigate to the "Settings" screen, then select "System Settings."
Scroll until you see the option "Format Memory Stick." Select this option, and press the "X" button to confirm.
Confirm that you wish to format the card by selecting "Yes." Your PSP will then automatically format the memory stick, deleting all data on it.