Are you trying to run and ISO or an EBOOT? If you're trying to run an ISO, there should be an ISO folder at the root of the memory stick. Just place the ISO there. If you're trying to run an eboot, the PSP/GAME folder should work fine. Just place the EBOOT in its own sub folder (EX: PSP/GAME/DOWNLOADEDGAME). Also, the EBOOT should be named EBOOT.PBP. It wont run under any other name.
Hope this helps.