Rexate: "I've saved my game to a memory stick."
go to the same place you found your GT5 game data to save to your memory stick. above your game data save, you should see a "USB" icon. if not, you may be using a "too large" stick. that happened to me with my 16gig USB thumb drive.
after going half crazy looking for the USB icon with my game save data copied to it, and striking out, i happened upon an ancient 1GB thumb drive in my desk drawer and gave it a whirl since i had nothing to lose. it worked. hopefully what holds for a USB thumb drives holds for your sony memory stick.
if you are still having problems, try reformatting your memory stick to FAT32 and copy your game save data to it again.
good luck.