that is the windows implementation of scandisk. it'll probably work the same so go ahead and try it out. if nothing wrong, run checkdisk as follows, I'll try to be specific since you don't know your way around a computer:
1) hit the start button at the bottom left corner of whatever windows your're running.
2) You'll see an option called "Run....." Hit that
3) a box will pop up to ask what program to run, just type "cmd" inside that box.
4) a window that's black will come up and bring you to a prompt that says c:\blah blah blah\desktop\etc
5) let's say your drive is g: (the memory stick reader) for argument sake
6) type this "chkdsk g: /f"
7) you will see the chkdsk program being ran on your memory stick and will tell you if there are some errors found and asks you to fix or not. hit yes on all of them.
8) after you get it all fixed, format the thing again.
9) add games afterwards etc and see if you can get things running, if more corruption happens, then the card is most likely damaged.
