I have an A-data RB19 pen drive that works well. I´ve heard the Sandisk cruzer 8gb also works. try every usb device that you can get your hands on. You´ll need some patience because it can be frustrating but you´ll eventually find something compatible.
Ok, I´ll try. the 1st usb drive is definately not compatible. check your other 2, to see if they are in FAT32 format. it is hard to find a usb pen that is compatible. most external usb hdd´s that are in FAT32,work. the psp is also compatible. what brand of usb pens are you using?