Instructions
PSP Browser
Turn on your PSP and log in to your PlayStation network account. Select the right Internet browser from the "Network" menu on the XMB dashboard.
Navigate to a website that offers free direct downloads of music files.
Choose a song you want to download, then highlight and select the download link. A prompt will ask if you want to download the file to your PSP. Select "Yes" and the download should start.
Allow the download to complete and you'll find your new song by browsing the memory stick via the "Music" menu on your XMB home menu.
PlayStation Store
Turn on your PSP and sign in to your PSN account. Select the PlayStation Store from the PlayStation "Network" menu on the XMB home menu.
Browse the PlayStation Store's music selection. You'll find that the majority of the free music offered is comprised of remixes of game soundtracks.
Select a song you'd like to download and go to its information page. Select the "Download" button, and the song will automatically be downloaded to your PSP memory stick.
Allow the download to complete and you'll find your new song by browsing the memory stick via the "Music" menu on your XMB home menu.