The lights on the left side of the PSP are your Network connection...click the switch down and they should go off. I would recharge the battery fully and try the cards again. Take the card out, turn the unit on. Then go all the way to the right so "Game" is selected and down to the "Saved Data Utility". Now insrt the Memory Stick and it should show up right below that.
If that doesn't work I don't know what else to tell you...good luck