i'm currently running psp 10. i've also run psp xi but dont have it installed right now. (i also have 9, 7 and 4.12). FF works just fine for me in both regards with the one exception that when you call FF from the 'effects' menu it does call up FF and you can use it fine...once and only once and then must call it up again. this is currently how it's supposed to work. and, it does retain the FF filter IN the last used filter of the 'effects' menu... on my machine. that it doesnt work on yours sounds like some sort of install issue, either with psp or FF.
currently, the way that FF works from psp requires that the FF .8bf file is either in your psp plugins folder or that psp is directed to look in whatever location you have the .8bf file. you would do that in psp by going to file\preferences\file locations\plugins and picking 'ADD' to add a new location for psp to look for plugins.
if your .8bf file is in the right location in psp, simply go to the effects menu and look down to where the plugins are located and pick 'Filter Forge\Filter Forge' and click on it. this shld load FF as a separate application. make sure you already have an image open in psp. otherwise your effect from FF is not going to be applied to anything.
do whatever you're going to do in FF and when ready to save it, simply hit the 'apply' button down in the lower right corner. this will close FF and apply the effect to your image in psp. if you wish to use FF again from psp, the 'Filter Forge' name shld be in the effects menu down at the bottom of the list as the last used filter.
this is exactly how it works on my system.
if you've just added filter forge from the preferences, you may need to close psp down and restart it in order for the filter to be seen in the plugins list.
also, i dont know if this is true or not in psp, but some graphic editors will not let you apply effects to the background layer. you may need to make a duplicate of the image in a new layer for FF to work as a filter within psp.
If wishes were horses... there'd be a whole lot of horse crap to clean up!
Craig