A PSP will read Memory Sticks in FAT format faster than FAT32. For 2GB and below, the memory stick is always formatted to FAT. However, for 4GB and above, due to limitations of the FAT file system, the default formatted file system is FAT32. This will cause your game to lag.

How do I know if my 4gb memory stick is in FAT or FAT32?

In your computer, right click the driver letter of your memory card and hit properties. You will see this:

Notice in this example, the File system is FAT32. Some games will lag in this format.

How do I format FAT32 to FAT? Go to Command Prompt. To access, go Start > All Programs > Accessories > Command Prompt Type in “format x: /fs:fat” (without the quotes and where x: is your memory stick drive letter). Ignore the warnings and just hit Enter or Yes.