David has kindly pointed out that "downloading" the advertisement to a PSP there a few rather arcane procedures one must follow:

When you transfer the file (after unzipping it) to the PSP Memory Stick, you must place it in the \MP_ROOT\100MNV01 folder. If this path does not exist on the PSP Memory Stick, please create it. The MP_ROOT folder must be located in the root of the Memory Stick file system.

Download PSP version