I'm starting to regret not springing for the 8gb memory card.
Can get some cheapo micro converter packs on amazon, I have one and it works well enough.
came with 2 8GB Sandisk micros and a generic adapter and it works fine ish in the PSP.
THE BEST METHOD to run PSX games (and everything else for that matter) is via Retroarch - http://buildbot.libretro.com/nightly/
If you have any questions on how to set it up on Windows please feel free to ask, its very easy.