For check it has upgraded the firmware to the correct version by looking at the system information. It should how as 3.03 OE-C
Next you first do need to format the memory stick otherwise it won't work correctly with the new firmware. Once formatted it will have created some new directories on the memory stick.
In the root of the memory stick should be a new one called ISO. Place any PSP game ISOs in here to run games. And in the PSP directory will be the two new directories GAME150 and GAME303. Play all the emulators in the GAME150 directory to get them working.