Hi there, My son purchased a memory stick, for his PSP. When he put it in to the PSP , gets a message "memory stick not inserted". The PSP will not let him format it either, as the same message comes up when trying to format.
I believe that the psp and ps3 both will only recognise memory storage that is formated in fat 32. You will have to format on a pc first. I had the same problem trying to use an external hard drive.