Do u mean external hdd or ps3 hdd?
KZ3 doesnt work on the external, noone seems to have it working.
But internal works fine if you havent messed with the files. If you have downloaded it, you will need to ftp it to your ps3 (this conserves files as they are perfectly), seems that if people split the files onto external then copy to internal they dont always work.
This is just a speculation on the method you have gotten this onto your ps3, The way you have pkg. kz3 may be right, but the game it self may be corrupt.