First before you put anything on the memory stick you should Format the Memory Disk. You can do this from inside the PSP, in system options i think.
To play mp3s simply copy them to the drive:/PSP/MUSIC folder that will have been created.
To play movies is a bit harder, but i use ImageConverter2.1 to convert and transfer my videos and movies. All you have to do is connect the PSP, open the program and convert the movies and it will put them in the right folder for you.
I am currently uploading ImageConverter2.1 for you on rapidshare, i will edit my post as soon as its done.
Edit:
http://rapidshare.de/files/23494451/...nglish_2.1.exe