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So far, I've had Tomba!, No One Can Stop Mr. Domino!, Crash 3, and CTR on my PSP. (I later deleted them all but Tomba! 'cause I was bored with them. :P )
Now, I tried to put RPG Maker on the card under F:\PSP\GAME\RPGMAKER\EBOOT.PBP and it either deletes it when I disconnect my PSP or deletes it after I play once. It does the same thing with Spyro 2, also. D: Help?
Try a different memory stick, or reformat the one you're using now.
That sort of behavior sounds like the FAT table is corrupting.
Got it all sorted out. Unfortunately, I found out that my computer couldn't copy the "saves" folder because it was corrupt or something (really weird symbols and stuff...) and so I left it out, deleting my Smackdown Vs. Raw 2009 saves (five characters, each with custom entrances and three with custom movesets; and a career file for one of those characters), my Kingdom Hearts: Birth by Sleep save (beat the game as Aqua and Terra, just needed to beat it as Ven), my Tomba! save (beat about three or four evil pigs), and my GTA:LCS save, though I deleted the iso a while ago. D: