Verified answer

To get everything working, plug the Sony PSP into the Windows PC via USB cable, plug the PSP into the wall, then turn both units on. On the PSP, click the "USB Connection" button (on the Settings menu) and, hopefully, your PC will beep and tell you that it's found a new "removable disk": your PSP.

Using Windows Explorer, find the new PSP device and if there isn't already a folder called PHOTO on it, create one as you ordinarily would create a folder in Windows. Now just drop in any JPEG images you'd like to have viewable on your PSP while on the go.

Music-wise, you'll want to create a folder called MUSIC and drop in MP3 format music files (which means that you can't play music you get from the Apple iTunes Store, for example, because that's in a different format).

I hope that'll get you going with this process. It doesn't seem too hard!