I found out the hard way that putting videos onto the PSP can be an incredibly painful process because of the way Sony has structured it — not only do you have to format the videos in a format the PSP will understand (MP4) but you also have to use a very specific file naming system in order for the PSP to be able to recognize the videos. There are a number of products available that are designed to make it easy to format and transfer videos to your PSP, and while there are definitely instructions available online for accomplishing the task, most advise that you use their product to do the job. There’s a whole long list of PSP video questions answered here, including how to manually accomplish the task without paying any extra money: http://www.movo9.com/viewtopic.php?p=93

You might try PSP Video 9 - a free program designed to do this. It’s from Sajeeth Cherian, a communication engineering student at Carleton University and the creator of the excellent Videora, so I’d expect it to work very well.