the following folder-structure is neccessary for Artillery:

YourPSP:\MbShell\game\GameName\GameName
YourPSP:\MbShell\game\GameName\GameName%

In my case the Snes9Xtyl game would have this structure:

F:\MbShell\game\Snes\Snes9Xtyl
F:\MbShell\game\Snes\Snes9Xtyl%