Instructions
Right-click on your computer desktop. A menu will appear; select "New" then "Folder." Name the new folder "PHOTO." Use all capital letters in the name or the PSP will not recognize the folder correctly.
Locate and open the folder used to store your digital photos. If the folder appears full-screen, press the double-box button next to the "X" in the upper right-hand corner. This will make the window smaller. Click the photo you would like on your PSP and drag it to the newly created "PHOTO" folder. Do this for each photo you want on your console.
Plug the USB cord that is supplied with your PSP into the computer. Plug the opposite end into the USB port on the console. Turn the PSP on and select "USB Connection" within the "Settings" menu.
Allow the computer to detect the console. The computer will display a menu once the PSP is detected. Select "Open Folder to View Files Using Windows Explorer." A list of folders on the PSP will appear.
Double-click the folder labeled "PSP." This will open the folder and show its contents. Drag the folder you created on your desktop named "PHOTO" and drop it into the "PSP" folder.