Alright... here we go :

First, put in the memorystick duo into your cardreader, then go to the dir.

You see a map called PSP :

[IMG:845:159:2aa7bb1c2e]http://tinypic.com/jr43np.jpg[/img:2aa7bb1c2e]

Double click, then just create a map called MUSIC :

[IMG:791:120:2aa7bb1c2e]http://tinypic.com/jr43s7.jpg[/img:2aa7bb1c2e]

Drag all the mp3's you want into the map.. And voila!!