Instructions
Connect your PSP to your computer using the PSP's USB link cable. One end of the cable plugs into the port on your PSP and the other plugs directly into an empty USB port on your computer.
Enable your PSP's USB connection by turning your PSP on and selecting the "Settings" menu option. Navigate to "USB Connection" and press "X" to turn it on.
Open the "My Computer" folder on your computer's desktop. There will be a folder that represents your PSP's internal memory card.
Drag any free songs you've downloaded to this folder on your computer. They will be automatically copied to your PSP. When you're finished, press the "Circle" button on your PSP's control pad and disconnect it from your computer. The free songs you've downloaded will now be accessible on your PSP through the "Music" menu option on the main menu.