). everything that you download has to be put in the PSP/GAME directory on your MS. thats it, enjoy your homebrew stuff.
and a side note, i heard you planned to download games... this site doesnt allow that kind of stuff to be talked about here. someone in the IRC channel EFnet #PS2ownz might be able to fill you in on some other things tho
before you do anything with the memstick, put it in ur psp and go to Settings > System Settings > Format Memory Stick. This will format your ms to FAT and put all the necessary folders in place. now, assuming that you have a usb cable, put it in usb mode and plug the cable in (doesnt need to be in that order