Misfunctioning 4GB memory stick pro duo

Are you formatting it with your computer or PSP?

1. Push the little HOME button on the bottom left of the face of the unit.
2. Use the arrow keys to move to the SETTINGS area, then move the up and down keys until you get to System Settings.
3. Once you are there, click on the "X" button and scroll up and down as needed to find Format Memory Stick. Click on "X" again to select that option.
4. The Sony PSP will now confirm that you want to reformat the memory stick (which removes every file and game save thereon, of course): choose yes and it'll format in just a few seconds.

You probably have a fake memory stick.

With ur PSP:

Go to Video, Memory stick, press triangle, show information.
If it does not says suported on Magicgate then your card is fake and you need a new one. (unknown = unsupported = chinese memory stick)