You need to plug in your PSP to the computer with a USB cable, then set your PSP to USB mode (an option to the far left under system settings).
Once there the computer will recognize it as a mass storage device, probably calling it drive "F" or something we'll call it F for the example
Open it, inside there is going to be a folder called "PSP"
Open it! Now you should be in "F:\PSP\"
There might be a folder called "MUSIC" if it is not there just right click and add it, please make sure to type MUSIC in uppercase.
so now you should have "F:\PSP\MUSIC\" there is where you want to put your music, if you have an MP3 you can just drop it there, be aware that creating folders inside that folder will work only for the first level, for example "F:\PSP\MUSIC\NICE\music.mp3" that file will be recognized so we're good, but if you put too many folders inside folders it won't recognize them
for example "F:\PSP\MUSIC\NICE\COOL\AWESOME\music.mp3" won't work, you need your files under music, or nice at most.
If you have updated the PSP you should also be able to use wma files as well, if not it will be strictly MP3.
Hope that helps!
:)