Just go into the "M33 VSH MENU" (3.52 M33: press "Home" on your PSP or 3.71 M33: press "Select" on your PSP) and switch the "USB DEVICE" to "UMD disc". You can also change the "UMD ISO MODE" to "Sony NP9660" if you don't want to need any kind of UMD game inserted in order to play the game from your memory stick. When you're done with that press the "Home" or "Select" button on your PSP to quickly exit the M33 VSH MENU.

-- Choose the UMD game you want to copy to your MS, put it into your PSP & turn it on.
-- Open "M33 VSH MENU" (press either "Home" or "Select"; depends on your M33 version)
-- In "USB DEVICE" select "UMD Disc"
-- OPTIONAL but highly recommended: In "UMD ISO MODE" select "Sony NP9660" so you can play the game without having to put a UMD game of any kind in your PSP. This will extend the use of your battery.
-- Close the "M33 VSH MENU" (press either "Home" or "Select"; depends on your M33 version)
The top part isn't really needed... but good TUT anyways