Problems with putting photos on PSP :(?

For some odd reason, even with a USB cord, I can't put photos on my PSP. I read a guide that says once you start USB mode on the PSP and open up the PSP files in Windows Explorer, there should be 4 folders; I only see two: SYSTEM and SAVEDATA- no folders for MUSIC or PHOTOS as discribed in the guide. Can anyone tell me what's wrong or how I can get them on here?
 
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