Is it possible you are copying to the phone memory instead of the Memorystick? That caught me out.
You cant install games to the Memory Stick, you cant even alter the GDFS to point to the memory stick as the install directory.
You can however, copy the .jar to the memory stick and choose to install it to your phone from there.
Best thing to do is, store games on your stick, uninstall ones you dont need/install ones you do need. This can be done on the fly as the installers are on your memory stick.