Instructions
Turn on your Sony PSP by sliding the power button up until it clicks. Wait as your PSP boots up and you will see your the menu, also called the XMB. Connect your USB cable to the PSP and connect the other end to your computer.
Select "USB Connection" from the XMB and the PSP will be connected to your computer. Make sure your music is separated into folders, with the folder names being the name of the album.
Copy over the new album art files into their corresponding folders on your PSP drive on your computer, and wait as they are copied to your PSP memory stick. Once the transfer is complete, press the "O" button on your PSP to disconnect it from your computer, and your PSP XMB will reappear.
Navigate to the music section of the XMB and you will see your album art indicating the albums you have on your Sony PSP. Select one and it will begin playing.