Instructions
Install Rockstar Custom Tracks. This application should come with the GTA game on a disc. The program rips CDs and then puts them on your PSP. You can also download the application at the Rockstar Games website. If you are unable to acquire Rockstar Custom Tracks, you can also accomplish the same goal with Exact Audio Copy PSP Edition or Switch Sound Format Converter.
Connect your computer to your PSP using the USB connector. Find the ZIP file you downloaded from Rockstar. It will likely be found in the PSP/SAVEDATA folder.
Insert a CD. Once you choose a CD you'd like to convert, insert it into your CD drive and then run the Rockstar Custom Tracks application. It will automatically detect the CD. If you want to select individual tracks, hold down "Ctrl" while selecting those specific tracks.
Click on the "CD" icon -- it will be pointing toward the PSP -- to start converting audio tracks. Once conversion is complete, return to the SAVEDATA folder and search for the icon of a man riding a bike. Write down the name of that file. Then return to the CUSTOMTRACKS file, which will be preceded by numbers and letters. Rename this folder to the name you wrote down followed by CUSTOMTRACKS. For example, ULUS10160CUSTOMTRACKS. It should be in all caps.
Launch "Grand Theft Auto." In the main menu, go to the audio section and make sure the custom tracks option is set to "On."