FIMbar the Furious. . . . .
You need to encrypt your Memory Stick.
Here's some info.; and better still a "freebe" program. ...I can't vouch for it, just the first thing up on a quick Google search. ...Doesn't look bad though (plenty of other options I'm sure).
Many of these devices, such as the one I have, come with inclusiive encryption security.
Good luck.