Instructions
Turn off your PSP entirely.
Open the memory slot on the PSP. It's clearly labeled "Memory Stick Duo."
Insert the memory stick into the PSP. You will notice one corner of the card isn't there; place this end in first. If the card doesn't slide in and click into place easily, flip it over and try again.
Turn on your PSP and play a game. When it comes time to save your game, the PSP will use the memory stick automatically.