So if you ever find it on there, it probably belongs there. There is a very simple easy way to do this, but it involves formatting your Memory Stick. That means it erases everything you have saved.
It automatically creates all the folders found in OFW in the Memory Stick. So if you don't mind either backing up your data or losing it, then just do this: In the XMB (PSP main menu), go to the 'Settings' icon all the way to the left. Go down to 'System Settings', and press 'X'. Go down to 'Format Memory Stick' and press 'X'.
It will prompt you if you want to continue formating, just choose 'Yes', and now all you have to do is wait. Read towards the end, where I will provide a brief explanation of each folder.