PSP GO users with a memory stick inserted must install the app onto the memory stick and not the internal storage.
If you do not do this, the app will not be able to browse the memory stick.

This is because of either:
1) A bug in the app (most likely cause).
or
2) The PSP GO itself shuts down the memory stick when it's not being used. Maybe to save power?

This hay have been fixed in v1.3_1