Instructions
Plug your memory card into a memory card port or adapter. If you don't have one, you can always just plug your PSP in to your computer using the mini-USB cord that came bundled with it to access your memory card.
Access the memory card by clicking twice on the PSP memory card symbol in your computer's "My Computer" section. A new window will pop up.
Create a new folder for your movies. Although there is a "videos" file, this is not for personal use. Instead, open the "MP_ROOT" directory on your PSP's memory card and make a new folder for your video files. It doesn't matter what you name this file.
Drag any videos or movies you want on your PSP into this folder. Note: The PSP can only play MP4 files, so if you have files that are AVI or WMV-formatted videos you will need to download a program like format factory for them to successfully play on your PSP. See "Resources" below.