Extract these files to the root of your memory stick (all of them).

When you connect your PSP to your PC and put it into USB mode, your computer will read the drive and the autorun file in there.

The Autorun file tells the computer to mount the drive and use the PSP.ico file as it's icon (which looks just like a PSP) and tell it to label the drive "Sony PSP".

Much better than the standard Removable Drive label and icon windows gives it.