How do I format my PSP's memory stick?

Okay, so here's the gist of it: Every time I try to open my save files and copy them to my pc, I always get a message, saying that it cannot copy the file and "the parameter is incorrect". I try to delete the files but ended up getting a message that the pc can't find the files. So here I am, attempting to do my last resort - formatting my memory stick. To my dismay, both PSP and my PC are unable to format it. How could I fix this?