It appears that the "Sony DCR HC 30" is a miniDV so that's a good start!
You don't ever want to use the memory stick to record video because it will be compressed and poor quality (at least compared to the miniDV quality)
Recording to the memory stick is OK if you plan on only sending the video clip to the internet and really don't care about editing or showing it on TV.
I think the option you are talking about is that you can record stills to the memory stick while shooting video. This is a much better option than records to tape, because you don't end up with a 5 sec still shot on your miniDV tape.
p.s. nice profile pic!