Instructions
Plug your PSP into your computer by using the PSP's USB cord.
Turn the PSP on, by sliding up the silver power button, which is located on the bottom right side of the device.
Press the left arrow key on the PSP all of the way over to the left so that "Settings" is highlighted.
Press up on the arrow key until "USB Connection" is hightlighted, and press "X" to connect your PSP to the internet.
Wait for the PSP to load on your computer screen. After the device has loaded, there will be a window that opens on the computer desktop.
Scroll down in that window, and double-click the "Open To View Files" folder.
Click on the "PSP" folder from the window that opens up.
Double-click the "Music" folder that appears from the next window.
Locate and open the folder where your music files are stored on your computer. Make sure to leave the PSP window from step 8 open.
Click and hold on one of the music files, and slide it over to the PSP Music folder and release. The file will now appear in the PSP Music window.
Repeat Step 10 for all of the music files you want to put on your PSP.
Safely remove the PSP from your computer by right-clicking and selecting "Safely Remove Hardware" from the green arrow icon in your desktop tray. Press "Stop" and then "OK" from the next windows that open.