I'd recommend you save to the computer 1st. Then transfer them to the memory stick. So how old is the comp you using? I presume it uses win 2k or later right? If you're studying in China I presume you can read chinese right? You might need to reduce the title of the songs if they're too long (eg: win 98 or earlier.) You may need to change the default application that opens the files. Are they mp3 or rp files? You should be able to see from the icons which program is which re: changing default.
Setting Default video app