To run a sample:
1. copy the *CONTENTS* of MS_ROOT to the ROOT of your memory stick - e.g. 'PSP' overwrites the old 'PSP' folder.
2. copy the mercury_us.bin and mercury_eu.bin to the ROOT of your memory stick (same place you just put the 'PSP' folder).
3. run the game.
4. load the savedata from the main menu.

If you accidentally start a game, you can pause, load the savedata, then hit Start again and it'll work that way, too.