When you connect a PSP to a PC via USB, you won't see the internal folders (ms0:/MUSIC, ms0:/PICTURE, ms0:/VIDEO, ms0:/GAME, ms0:/SAVEDATA) directly in Windows Explorer. The PSP uses a proprietary file system and only exposes a Mass Storage Class (MSC) view of the Memory Stick Duo.
Create them manually (exact uppercase names). PSP recreates them on next USB connect.
For full filesystem access (flash0, flash1, vsh, etc.), you need Custom Firmware (CFW) + USBHostFS or VSH Menu – not stock OFW.