I'm guessing you mean step 6 from the readme:
"6 - Copy the contents of the folder MS_ROOT from the 3.03 downgrader ZIP to the memory stick"
Extract the 3.03dg.zip
Open the folder it creates.
Inside that is a folder MS_ROOT, open that folder.
Inside there is a folder named 'psp', right click that and choose copy.
Connect your psp to your pc with a usb cable and put the psp in usb mode.
On your pc go to my computer and you will see the psp listed as 'Removable Disk(X:)'. X being whatever drive letter your pc assigns to the psp.
Right click that and choose paste.
Then continue with steps 7 onwards.
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