The GTA series, as ever, is going from strength to strength and with Grand Theft Auto IV and GTA: Vice City Stories recently announced by Rockstar Games I've decided to use the available free time I have to finally finish off my GTA: Vice City and GTA: San Andreas plot guides and add this one to the collection.
If you haven't, then you have to make the folder manually. First, connect the PSP as you usually would. Open My Computer from your desktop, then look for the removable drive that corresponds to your PSP. When in that file, double-click on the Folder PSP. Look for SAVEDATA, then double click on that.