Instructions
Download and install a free copy of Sony's Media Go application. Launch the application after you have installed it.
Power on your PSP. Select the "Settings" option from the PSP's main menu. Select the "USB" option from the Settings menu, and then select the "On" option to put your PSP into USB mode.
Connect your PSP to your computer, using the gaming system's USB cable. Media Go will add a new PSP heading to its library window. Double-click on the newly added heading, and then click on the "Saved Data" heading beneath it.
Drag and drop the desired saves up to the "Saved Data" header beneath the "Library" heading. You PSP's saves will begin syncing to Media Go's "Saved Data" directory.