Well, If Im not mistaken, which I just might be, You are not adding the games onto the HDD. But if you DO have them on your HDD, you will want to do this.
Highlite your your game (ex.Halos) then press the "Y" button. You will notice a black box with a bunch of diffrent selections, go to "Game info" and press "A". After you have done that, look @ the path....Notice it SHOULD be directed something like "F:\Your game folder\Halo\default.xbe"...THAT IS YOUR HALO GAME!!!! If you found the actual game check the other "fake" ones and make note where EXACTLY they are!!!!. Then locate your halo and prince of persia game folders using a file manager ( i like to use dvd2xbx) and delete the files/folders they are in. Then go back to MXM dash, press the "Y" button, select the "Reset Menu Cache" option, then reboot. Now check, and they are gone!
****NOTE**** Make sure you DO NOT DELETE THE ACTUAL GAMES "default.xbe"!!!! You will render then game useless!!!
Now, for your Conker game, Im thinking its on the disk. If so, before you have the game inside the dvd rom, press the "Y" button on main dash. Then go down to the "Configure" option and press "A". Go to "DVD Drive" and press "A". After than go to AutoLoad Multigame and make sure its on "Yes" and "Deep Search Multigame" is on "Yes". These options will make sure when the demo disk is in the dvd rom drive, it will look for all the "default.xbe" files. Of course you will have to find out which files is the "REAL" default.xbe for the demo disk (most of the time it is "CDX").
Sorry this took so long, but I wanted to make sure I went steep by steep to try to help you!!! Good luck, and let me know if this was/wasnt what you needed to know!!!