In order to get it to work you need to open up the memory card... format it... then create a folder on your psp called "MP_ROOT"...then a folder called 100MNV01 inside that... you then put your videos into the 100MNV01 folder.. there should be two files, the mp4 itself and a .thm file (or something like that) both files need to go into that folder
If you think it is your mp4's that arent working download psp video 9 here -
http://www.pspvideo9.com/started.html and there are several guides of how to do it on there
Hope that helps
Alex