It is likely that the camera is just not going to support the sd card adapter. You will have to get the actual sony memory stick and a reader for your computer.
Sony's memory stick works great if you have a sony camera and a sony card and a sony viao laptop to plug it into. Otherwise you start running into issues like you are having.
As stated, I would look for a sony memory stick reader that has good reviews and get that as well as obviously a sony media stick
My used Sony cyber shot camera required an adapter with memory stick, I got that but now when I put it in My camera it says memory card error
So you are using an SD card or another card with a Memory Stick adapter or an actual Memory Stick?
If an adapter, I'd return it and just try a regular Memory Stick. Some Sony cameras actually have an SD card slot as well as the Memory Stick, see if yours does.