Okay, confirm that inside of those folders is the PSU2DATA? content that you download. You said you had the US version, so you actually only need the ULUS folder.
When I originally tried this, it didn't work because I was using OSX; what OS are you on? They like to add suffixes to folder names for some bizarre reason.
If this doesn't work, I would personally do Error Checking to see if that fixes it, as it could be a problem with the Memory Stick. If not, I'll unload more unlikely ideas to try and resolve this, and when it gets fixed I'll update the first post for anyone else with a similar problem.
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