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Use the same steps as described above.
In the unlikely event that you have a Sony PSP, the steps are mostly the same, except, after connecting the cable from the PSP to the computer (and powering on the PSP) but before opening the device in Windows Explorer, you have to set the PSP to USB Connection mode. On the PSP, arrow left to Settings, arrow up to "USB Connection" and press X. Now the PSP is in USB Connection mode. Windows should mount the device as a removable disk, and you will be able to browse the folders stored on your memory stick.