first,
Have you downgrade your psp to the suitable grade
If no, you can only download demo game from sony psp 的宮方website
If you have down grade,
you can go to any forum to find some game to download
but i am not fammiliar with this
Second,
any memory stick is OK,
but,
you need to follow the instruction to down the game in it,
not just put the game in
it will tell you when you download the demo game
every game is different