Instructions
Power on your Bluetooth headset or headphones, and put it near your PSP. If you have used your Bluetooth device before, you will need to put it in discoverable mode or pair it with your PSP. Most devices are put in discoverable mode by pressing and holding down the power button until a light on the back of the device shines a solid color.
Select "Settings" from the main screen of your Sony PSP, and choose "Bluetooth Device Settings" from the available options.
Select "Bluetooth Connection" from the device menu, and change the Bluetooth Connection option to "On."
Select "Manage Bluetooth Devices" from the Bluetooth Device menu options, and choose "Scan for Bluetooth Devices" to have your PSP search for your headphones or headset.
Select your headphones or headset from the list of devices that appears, and when prompted enter the passkey for the device to complete the pairing process. The passkey will be found on a sticker on the device or its instruction book. Most headphones and headsets use the default passkey "0000."