Instructions
Download the wallpaper you want on your computer. Many websites such as mypspwallpaper.com and pspwallpapers4u.com offer free wallpaper you can download. To download a wallpaper, right-click the image and click "Save image as." Name the image and save it on the computer.
Connect your PSP to the computer using the supplied USB cable once you have downloaded the wallpaper you want.
Click the "Start" button and click "My Computer." You should see your PSP folder under "Removal Devices."
Double-click the PSP folder and double-click the "Photo" folder. Copy the wallpaper you downloaded and paste it in the photo folder.
Press "O" on the PSP player and disconnect it from the computer.
Scroll through the "Photos" section on the PSP player and locate the wallpaper you just uploaded. Press the "Triangle" button on the PSP and select "Set as wallpaper." Once you complete this process, the wallpaper will be displayed on the PSP desktop.