Again, great news that you got things to work. Just to clarify the folder structure on the USB stick. You just need a folder with any name. It doesn't have to be MOVIES, IMAGES, MUSIC.
For example, if you have a folder like THETA, you can put both images and videos into that folder. I'm not sure what the best practice for naming is. If you use audio files, I believe it needs to be in a folder called, "Music". However, that is unrelated to THETA videos and images.
See this thread from the PlayStation Forums. There's another relevant article on HowTo Geek.