Locate your memory stick using Windows Explorer and open it. Check if there is a folder named MP_ROOT . If the folder does not exist, create it then in that folder create a folder named 100MNV01.
This makes the path to the video folder on your PSP as E:\\MP_ROOT\100MNV01\M4Vxxxxx.MP4 (where E is the PSP drive letter).
Copy your MPEG-4 video files into the 100MNV01 folder. Save both .mp4 and .THM files into this folder.