How can i play with usb memory stick in sony playstation 2?

buy a memory stick you idiot.

If you are getting this error when trying to play games from memory stick i might have the solution for you.
1) Back up your data on memory stick to PC using usb cable.
2) Format your memory stick from PSP.
3) Copy game from your PS3 to your PSP using usb cable.
4) Copy game saves etc. from your PC back to your PSP.
5) Play your games on PSP.
:)

Follow the following steps to putt and play games is your Playstation portable.
1.First of all crack your psp so that it can play .ISO files.click here
1.Download a free or buy a psp game from internet to your pc.
2.copy it in your memory stick.
3.Put back memory stick .
4.Enjoy new games.....!

This is not reversable without a pandora battery and a magic memory stick, the pandora battery is a modified battery that lets your psp boot from a special memory stick (magic memory stick) into service mode, from there you're able to reflash your psp to a custom firmware, this needs also to be on that memory stick, since your not able to use USB or Wifi in the service mode.

You've flashed your psp with official Sony
firmware, this lets you play only games that are bought from PSN and does also only run games
from UMD.

Succes.

you must use a ps1 card for a playstation

no u cant access data like this on a ps2 from a memory card..

the PlayStation 3 can read just about any usb memory stick and play can movies from them, since a usb's bandwidth is significantly lower then the ps3 hard drive it's recommend to copy the movie to the ps3's hard drive.

also it matters how the movie was converted. some converted movies wont play on the ps3 no matter what codec your using to encode the movie with.

get a memory stick duo of any Gigabyte size you want, Turn on the psp and insert the memory stick duo.Navigate to SETTINGS, under SETTINGS scroll to the SYSTEM SETTINGS and press the X buttom. system settings will appear, then scroll to the FORMAT MEMORY STICK and press the X buttom.
a message will appear and select yes, this will format the memory stick duo and create folders like MUSIC, VIDEO ,PICTURES etc. required by the psp.
restart the psp system and you are good to go. remember to save MP3 songs you want to play on your psp to the MUSIC Folder on the memory stick duo when you connect it to your computer in USB mode. if you want to play WMA format songs, navigate to system settings and select the ACTIVATE WINDOWS MEDIA AUDIO(WMA), make sure you are in a wireless hotspot to connect to the internet to activate WMA playback.
online manual for psp: click on the link. http://manuals.playstation.net/document/en/psp/current/index.html
Good Luck.
if you need more help comment me back.

Just like sorta of add-on to szwaan's answer:

You must have a memory stick to put music into your psp such as mp3 files, the psp itself does not have any internal memory for you to store any music files whatsoever.

if you got a memory stick already, connect your psp to your computer via usb cable, select usb under the setting section of your psp, and the memory stick drive will appear in your "my computer", so you can drag your music into the Music folder of your memory stick and play them from your psp.

If you tried to delete the save game from the memory stick and it's not letting you. Copy what you need off of the memory stick to your PC via the usb cable and reformat your memory stick.