Instructions
Convert the music files. Though the PSP system plays several formats of music, the in-game feature only supports MP3 files. If your music is not in MP3 format, convert it using iTunes, Switch, Audacity or other software.
Connect your computer and PSP using the USB cable included with your PSP system. Select "USB connection" from your PSP's "Settings" menu. Your computer will recognize the device, and the main screen of your PSP will display "USB Mode."
Prepare to transfer music. Your PSP appears as a removable disk in your operating system. Open it from "My Computer" in Windows or from the desktop in Mac OS X.
Create a new music folder. By default, the PSP stores music in the "Music" folder in the root of the system's memory, but games do not access this folder. Create a new folder titled "Music" inside the "PSP" folder of the system's memory and place the MP3 files there.
Play the game. Access the audio options from the game's main menu to ensure the custom soundtrack feature is enabled.