PSP Memory Stick Problem

[imhotep]

Please heeeeellllllpppp!!!!
Can anyone help me with my Memory stick problem?
Any help will be really appreciated.
I have this PSP which I won sometime ago,and I bought a Memory Stick duo which I can use to SAVE when playing just a few of my games.Having now bought a USB Link & Charger cable I thought I would be able to link my PSP to my PC.
So,I connected the PSP to my PC using the USB link cable,switched my PC on,and reading the instructions carefully in the Powerstation magazine,it said that the PSP will make a Memory Stick Icon appear on my desktop.Well,I waited and waited and waited,and nothing happened.It did say on the PSP screen 'Please wait',and when the USB Connection appeared I thought I would see the Icon appear.But, I got nothing.Not even the memory light wasn't flashing on my PSP.Is that normal I thought?
So,I tried switching off my PC and started all over again.Still nothing!!
Is it possible that it is something to do with the Formatting of the Memory Stick on my PSP.I don't really want to re-Format it as I have game SAVES on it.
I suppose I will have to buy a new Memory Stick for it.
This is a technical matter which I have very little knowledge on.
Please help anyone! Many thanks in advance.

[beso]

What is your operating system? If you are using Windows 98 you will need drivers

[MrBounty]

Must admit, i didnt realise the PSP would act as a card reader if connected to a PC.

Have you tried www.google.com ?

[imhotep]

Hi there. I have only now just logged on to see if I had any reply to my posted question.
So sorry for not responding sooner.

Well beso, I have a Microsoft Windows XP AMD Athlon computer.
Hope I get a reply from you soon or anyone else for that matter.
MrBounty I have had a look on the Google browser, but it didn't give much help.MAybe I will have another look again soon.Have to go and watch Survivors on BBC1 now.
I will have another look at a later time to see if I get any more help.
Thanks for any advice that anyone can give.