Best option is pick up a sandisk cruzer from a popular high street retailer, 8gb cost about £5. Take it out the packet, drag your image onto it and pop it into the back off the box and switch it on.
If you wanna use the memory stick you already have the use Do a low level format on it and then drag your image onto the root.
Personally I went with option one and then I put it away incase I ever need to flash a box again.