Wow, actually something different from all those "hm i know i might be stupid but i think i write this stupid stuff in my topic although i know its stupid".

This fails as your "something" which you started using GTA is closed after you quit GTA to go into the PSP vshell (PSP Main Menu). This happens because the PSP reboots. Each transition btw. "reboots" the PSP, like going from Menu (starting game) into a game and back.