When you first purchase a Memory Stick for your Sony PSP, you need to format it before you can use it.

Requirements:

Here's how to format any Memory Stick Pro Duo for your Sony PSP:

1. Push the HOME button located on the bottom left of your PSP.
   
2. Repeatedly push the LEFT arrow key until you are in the SETTINGS column.
   
3. Repeatedly push the DOWN arrow key until you have the SYSTEM SETTINGS icon selected. Then press the X button.
   
4. Repeatedly push the DOWN arrow key until you have Format Memory Stick selected. Press the X button.
   
5. The Sony PSP will now ask you to confirm your desire to format the memory stick. This extra warning helps prevent users from accidentally erasing important data. Highlight "yes" and press X. It will take about 5-10 seconds to reformat the stick.
   

You will now have completely empty and reformatted Memory Stick for your Sony PSP.