Simple answer: Since Memory Sticks are built on propriety technology, only Sony and it's 'good' friends can manufacture Memory Sticks.
Long answer: Sony is known to be very tight lipped when it comes to their own exclusive standards on flash memory. Since the license to manufacture Memory Stick is quite expensive, the manufacturers are forced into marking up the prices of the Memory Stick where as MMC Cards manufacturers do not need to pay for licenses to manufacture MMC Cards (which are compatible with SD slots/host adapters.)
Whenever you buy a portable device, always check on the prices of the memory cards before you buy.
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NO, a PSP's memory stick is a memory stick pro duo. A dsi's is a sanDisk
No you need the PS2 Sony card
One can buy memory stick Pro Duo 4GB unit at in store electronic shops such as Best buy, Future shop, Staples, Office depot, Sears, Walmart, Target, Amazon online, eBay online and Home depot shop.
the best way to make work again is to format the memory stick (click right on it in windows and choose "format", for the exact settings you'd better check the manual) but you'll lose all the data stored on the memory stick. If you want to recover your data try a program like this onehttp://www.freedownloadscenter.com/Utilities/System_Maintenance_and_Repair_Utilities/Memory_Stick_Data_Recovery_Software.html (I DID NOT TRY THIS, SO BE CAREFUL WITH IT!) it should recover data from your stick.
It uses the standard sony memory card that can be found anywhere basically.