eg you put the stick in the thing that looks like a 5.25 inch floppy and then you can ready the memory stick likes its a floppy drive.
These Amazon reviews from 2002 show an interesting perspective on compatibility:
https://www.amazon.com/Sony-Floppy-Interface-Memory-MSAC-FD2...
So you can format the Memory Stick from the attached PC and then install an operating system like a Linux distribution if it fits, and it will boot.
It then boots the PC. The OS of the phone does not change.
That's using the phone's Memory Stick storage as an external boot device for a PC without the actual necessity for the PC to have an internal drive for that reason.
Similarly when inserted into the USB adapter, the Memory Stick can behave about the same as a regular bootable USB thumb drive.