Bookmarking is broken as far as I can tell. However, as someone else mentioned their books left off from when they last exited due to the .ind files. I am assuming you are like I am and you turn the screen vertical. Since the .cfg file is not set for vertical when we exit it doesn't save the point we were at correctly. Open your x:\PSP\GAME\PIXIE\reader. cfg in wordpad and change the rotation to what you want. Mine is 3, I like the directional buttons at the top. I've also set my linespacing to zero, and align to unjustified. Just change whichever options you normaly do when you read a book. Save it back to your psp. Now after reading a book and you are ready to stop, press the start button. Your MS should be accessed. When you go back in it should be right where you left off. I think if you accidentaly change any of your settings while reading it won't work correctly.
If anyone else has gotten the bookmarking to work, including completely exiting pixie and going back in, please post.