Downloading some Applications first would help. A great place is PSP-Homebrew
. Download what you think is useful and interesting, and go to the GAME folder in your PSP.
What you want to do, is click and drag the application's folders to the GAME folder. If the application has one folder that contains another folder (in which the second folder has all the files), delete the first folder and keep the second. If you have a folder leading to a folder, your PSP will say it is a Corrupted File.