Instructions
Turn off your PSP completely by holding the power button up for 5 seconds.
Hold the "R" trigger on the PSP and push the power button up to turn the PSP back on and enter the recovery menu.
Select "Registry Hacks" from the recovery menu main screen and select the "Enable WMA Playback" option from the menu that appears.
Select "Exit" twice to reboot the PSP and you will now be able to play WMA files on your PSP.