Memory stick is not a video format or codec, it is just a flash card. To convert videos you need to open a manual and see what formats and codecs your hardware (like Sony Walkman) supports. Then an appropriate audio/video converter can be chosen.

WM Recorder can download or capture not only Windows Media, but also Flash video, Real Audio/Video and some other streams. When you download/capture with WM Recorder, it doesn't convert anything.