assuming you are using Windows XP
look in “My computer” for a new disk drive letter that wasn’t there before (often drive E: if you already have one fixed disk C: and a CD-R/W/DVD drive as D:) – this is your memory stick.
if you don’t see this letter, then unplug it and plug it in again.
it will say “new device found” and then various other “baloons” will come up in the task bar, often with Japanese/Chinese names (the real manufacturers of your memory stick) and strange numbers (what model it is).
Eventually a message will say “Disk Drive”. When this balloon disappears you should be able to find the memory stick as above.
