Finally, I have an answer to this problem that I think lots and lots of K800i-owners are troubled by. Luckily the solution is quite simple.
But to use the USB-cable, do the following:
* Install the Sony Ericsson File Manager software (as you have already done)
* Connect your phone.
* You phone will ask you what mode you want, and here's the trick: Do NOT select File transfer mode. Select Phone Mode.
* Start Windows Explorer (Start - All Programs - Windows Explorer)
* In the folder list in the left pane, you will have an entry called "Sony Ericsson File Manager". Click that entry to view it's contents in the right pane. (If you can't see the folder pane on the left, click View - Explorer Bar - Folders.)
From here you can access files both on your 1GB memory stick and your 64MB phone memory.
There is of course the possibility to get a memory card reader. They aren't very expensive and can usually read lots of formats so it can be used for your digital camera if you have one and any other memorycards you may have.
My cardreader is broken so I have to use the USB-cable :/
...or I could buy a new one, but now I don't have to ;)
Good luck!