I've just spent 12hours trying to solve the problem of my memory stick, it wasn't possible to access it on my PSP and it said " There is no memory stick " or something like that and it would not format under anyway but I DID solve the problem....
To solve this you simply have to:
1- get a memory card reader and connect your memory card to your computer (you can try to connect directly with your PSP but I don't know if it'll work).
2- Go to "Start".
3-Right click on "My Computer" and select "Manage" and it will popup a window called "Computer Management".
4- Click on "Device Manager". On the right there will show a list and collapse the "Disk drives" tab.
5-Right click on your memory stick ( For those connecting through the PSP it will say "Sony PSP USB Device") and choose "Properties".
6- Go to the "Policies" tab and check the "Optimize for performance" and click "Ok".
7- Go to "Start" and open "My Computer".
8- Right click on your memory stick and choose "Format" and a window will open.
9- Make sure "Fat 32" is selected under "File System".
OPTIONAL: You can name your memory stick.
10- Press "Start" and wait a few seconds and you're done!
Have fun! ;)