Alright, found it and added:
gs_plugin.path = C:\gs_data
gs_plugin.tiny = true
I start PMS, I find PMS under the Music tab on my PS3, open it, find the Grooveshark folder, open it and see a bunch of folders, like Songs, Artists and so on. Within these folders there are more folders, such as "A", "B" and so on. I guess songs starting with an A would be located under "A", but every folder is empty.
Also I have uninstalled the standard PMS and installed PMS with the Shark Build.