when you format your memory stick it will create 2 folders called MP_ROOT and PSP. Inside the PSP folder there are folders to put music and photos in as well as a few other folders. Inside the MP_ROOT folder there are two folders, one of which is called 100MNV01. You put you movies in here, in the correct format. There are loads of guides on google i expect. hope that helped you. even though you posted completly off topic, but forgive and forget...etc
EDIT - if you format and dont want to loose savedata, you can just copy it out of the savedata folder and paste after youve formated.