Ok, what you have to do is when you finally have the MP4 file they give you, you must take it and put it into
MP_ROOT / 100MNV01
This is where you put any movie file you normally put on the psp. For some reason the download puts it into 100ANY01 or something like that.
Once there, you must change the name of th file to M4VXXXXX, where X is any number, you can just leave that the way they had it, but cahnge the first 3 letters to M4V
Then it will work. I don't know why the download put it in the wrong place under the wrong name.