If you would like to put songs and an image on your PSP, you must first connect your PSP to your computer through a USB connection, Most camera USB's work well with the PSP, you just have to find one that fits.
Once you connect the PSP to your computer and PSP, turn on your PSP, and go to the far left on your PSP, and look for "USB Connection" hit x, your psp should say "USB MODE" now your computer should manually pick up the new hardware and give you a list of program to run with it, just hit "Cancel"
Now, i am assuming you have Windows XP, so, this part may vary a little, now go to the "Start" button at the bottem left, then open up "My Computer" There should be a couple diferent things in here, so look for something that says something like "Removable Disc" and open it up, when you open it up, there should be a folder called "PSP" if you dont see it, its the wrong thing and try another.
Once in the folder called "PSP" inside that, there should be a folder called "SAVEDATA" dont click inside "SAVEDATA" just stay in the PSP folder, now right click, and hit "NEW" then "NEW FOLDER" , once you have made a new folder, name it "PHOTO" or "MUSIC" , depending on what you would like to put on your psp, or you can just make both.
Now, get the photos you want on your psp, and click and drag them on your "PHOTO" folder, Same applies to music,
Now once everything is put in those folders, you can just exit that box, and look at the bottem right, where te time is listed, there should be a little thing with a green arrow, double click that, and then click "stop" and now it should say you can safely remove the new hardware.
Now on your psp, hit circle, and go to the Music/Photo thing, and check if you see what you installed on it is there.
If not, it is most likely because the format of the music or image are not correct.
The most common form of music you should put on your PSP, is MP3 Format, which you can transfer CD's, to MP3's using MusicMatch JukeBox using the recorder tool. And I beileve the only form of Pictures you can have are JPEGS, which you can to change, just google it.