The PlayStation Portable's can be configured and used across the Internet or an intranet using a wireless connection. The PlayStation Portable's menu can recognize non-protected and protected wireless networks inside its range. The first step you should take is to make sure to that the memory stick duo is present in your PSP. With the help Wi-Fi IEEE 802.11b wireless network you can browse the web and download files to the memory of PSP. Therefore you can directly connect your PSP to internet and download the stuff you want from internet.
Also there are a number of ways to download files from your PC to your PSP. Take USB cable and connect it between PSP and PC by using setting menu and then select USB connect, it will connect to your PC to PSP. Your operating system of PC will detect and install software for PSP (If require provide CD of your PSP). PSP will be shown as removable drive in your PC. You can now transfer the required data from PC to PSP using windows explorer.
Also there are a number of ways to download files from your PC to your PSP. Take USB cable and connect it between PSP and PC by using setting menu and then select USB connect, it will connect to your PC to PSP. Your operating system of PC will detect and install software for PSP (If require provide CD of your PSP). PSP will be shown as removable drive in your PC. You can now transfer the required data from PC to PSP using windows explorer.