Instructions
Put the memory card in the PSP's expansion slot. This slot is on the side of your PSP, and has very small text reading "Memory Stick Duo" on it. Simply place the memory card in with the logo side facing you, and apply firm pressure until you hear it click into place.
Turn on your PSP. Your PSP should recognize the new memory card instantly, and it will ask if you want to format it. Highlight "ok" and then press the "X" button. Note: if you have any files on this memory card from other electronics, they will be lost in the formatting process.
Download games to the memory card. Games can be downloaded directly from the PlayStation store on the PSP to your Memory Stick Duo. Once you have downloaded these games they will only work with your PSP and cannot be transferred to another Memory Stick Duo.
Save movies and music to the memory card. In order to put your personal media files on your PSP, you will need to connect it to your computer via a Memory Stick Duo port or adapter. You can save your media directly to the card on your computer, and then play it back on your PSP. For more on your media and your PSP, see the Resources section below.